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Question 10 The following figure forms ten portfolios based on stocks' prior one-year performance and shows their returns and market betas. For example, the left-most portfolio invests in the past one-year loser stocks and rebalances each month. Likewise, the right-most portfolio invests in the past one-year winner stocks and rebalances each month. Which of the following statements regarding the capital asset pricing model (CAPM) is false? A B The evidence violates the high risk-high return principle CAPM cannot explain the return pattern The risk premium for the market beta is negative Past one-year return is not priced C D Hint: Chapter 13. Assignment 2 Question 14 Portfolios Formed on Past One-Year Return 20.0 2.0 15.0 1.5 Excess Return% 10.0 1.0 Market Beta 5.0 0.5 0.0 0.0 Low 2 3 4 5 6 7 8 9 High Past One-Year Return