The Capital Asset Pricing Model relates the systematic risk of an investment and its expected returns. Which of the following assumption of CAPM is incorrect? Markets are frictionless with no constraints on lending and borrowing at the risk free rate. Any market participant can borrow or lend at the risk free rate. Market participants are allowed to start trading with heterogeneous investment horizons Markets are frictionless with no trading costs or taxes Market participants are allowed to start trading with heterogeneous forecasts on investments. No individual market participant or groups of market participants can move the market by large buy or sell trades - market remains constantly liquid