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Assume that the assumptions underlying the standard CAPM hold. Indicate whether each of the following statements is True or False a. A firm with a
Assume that the assumptions underlying the standard CAPM hold. Indicate whether each of the following statements is True or False
a. A firm with a high variance will have a higher beta than a firm with a low variance.
b. A portfolio is efficient if it has no unsystematic risk.
c. A firm that is highly correlated with the market will have a higher beta than a firm that is less
correlated.
d. If the variance of the market portfolio goes up, the betas of all securities will go down.
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