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Consider the following information about two stocks: Stock A: Expected Return 15% Standard Deviation 30% stock B: expected return 20% standard deviation 25% If CAPM

Consider the following information about two stocks:

Stock A:

Expected Return 15%

Standard Deviation 30%

stock B:

expected return 20%

standard deviation 25%

If CAPM holds, is this situation possible? Is it possible for one stock to have a lower expected return and a higher standard deviation than another stock if CAPM holds?

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