D Question 20 278 pts Which of the following statements is TRUE? The risk premium of a security is equal to the market risk premium divided by the amount of market risk present in the security's returns measured by its beta with the market. The beta of a portfolio is the sum of beta of the securities in the portfolio divided by the number of securities. There is a linear relationship between a stock's beta and its expected return. O A security with a positive beta has a positive correlation with the market, which means that this security tends to perform well when the rest of the market is doing poorly. U Your estimate of the market risk premium is 7%. The risk-free rate of returns 4%, and General Motors has a beta of 1.4. According to the Capital Asset Pricing Model (CAPM), what is its expected return? 10.4% O 11.7% O 13.1% O 13.8%