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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

5

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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