QUESTION 21 4 points Save Answer In testing the CAPM model, Antoniou et al. (2015) find an upward sloping SML (security market line) when the market sentiment is low (i.e., when the market is pessimistic, Figure a); and a downward sloping SML when the market sentiment is high (i.e., when the market is optimistic, Figure b). The figures below illustrate their findings on the relationship between stock market Beta (x-axis) and expected return (y-axis). High Sentiment Low Sentiment 04 (a) Low sentiment (b) High sentiment The stock market is currently in a low-sentiment period; but you predict that the market will soon transition to a high sentiment period. Assume your prediction is accurate and this change (i.e., transition from a low to high market sentiment) is not yet anticipated by other investors. You want to form a profitable trading strategy based on the prediction. According to Antoniou et al. (2015), which stocks should you buy now, high Beta stocks or low Beta stocks? Explain