Question 9 Not yet saved The security market line (SML) shows the relationship between beta and expected return. The following graph shows stocks' betas (B) and expected returns (u): Marked out of 4.00 Flag question SML E . A D um M B B 1 Assume that the CAPM holds and expectations of stocks' returns and betas are correctly measured. Which statement is NOT correct? O a. Stock A has a negative excess return (a negative alpha). Ob. Rational investors should sell Stock D. O c. Stock C has the same systematic risk as the market portfolio. O d. The price of Stock B will fall, and the excess return of Stock B will rise. O e. Stock E is fairly priced