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Consider the following statements on the CAPM: I. Stocks with a negative alpha in a CAPM world are shorted by all investors (shorted means investors

Consider the following statements on the CAPM:

I. Stocks with a negative alpha in a CAPM world are shorted by all investors (shorted means investors short-sell the asset)

II. An example of idiosyncratic risk is a nationwide flood

a.

Only statement II is correct

b.

Both statements are false

c.

Both statements are correct

d.

Only statement I is correct

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