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.

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

b.

Stock C has the same systematic risk as the market portfolio.

c.

Rational investors should sell Stock D.

d.

Stock A has a positive excess return (a positive alpha).

e.

Stock E is fairly priced.

u SML E A D Mum M ro B B 1