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If CAPM holds, which of the following statements is not true? Question 5 options: Value stocks tend to have a positive alpha MVE portfolio has
If CAPM holds, which of the following statements is not true?
Question options:
Value stocks tend to have a positive alpha
MVE portfolio has the highest Sharpe ratio
Idiosyncratic risk is not related to a stock's future return
Beta is positively related to a stock's expected return
Market portfolio has the highest Sharpe ratio
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