Choose the statement that is consistent with CAPM and efficient capital markets?

A.

Small stocks with a beta of 1.5 tend to have higher returns on average than large stocks with a beta of 1.5.

B.

A security with a beta of 1 has a return last year of 8% when the market has a return of 12%.

C.

A security with only systematic risk has an expected return that exceeds the risk-free interest rate.

D.

A security with only diversifiable risk has an expected return that exceeds the risk-free interest rate.