The existence of an anomaly, such as the January effect $($stock returns are higher in January than in other months$),$ undermines the efficient market hypothesis.

The beta for the market portfolio in CAPM is $0.$

The beta for the risk$-$free asset in CAPM is $0.$

The CAPM implies that no other portfolio can earn a higher Sharpe ratio than that from the market portfolio.

If stock prices and bond prices have a negative correlation coefficient, then having stocks and bonds in your portfolio at the same time can provide efficient diversification.