The below security market line (SML) shows the relationship between beta and expected return.

Assume that the CAPM holds and expectations of stocks' returns and betas are correctly measured.

Which statement is NOT correct?

a.

Stock C is overpriced.

b.

Stock D has a negative excess return (a negative alpha).

c.

Rational investors should sell Stock B

d.

Stock E has more systematic risk than the market portfolio.

e.

The price of Stock A should rise when investors realise it's mispriced.

Clear my choice