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Assuming the CAPM holds, simply holding the S&P 500 index or US stock market and taking on leverage (investing more than 100% of your money,

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Assuming the CAPM holds, simply holding the S&P 500 index or US stock market and taking on leverage (investing more than 100% of your money, l.e. borrowing money to invest) will never result in a positive alpha, but will result in an increased beta and higher expected rate of return. TRUE FALSE

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