The following table provides information in respect of three securities. Security X Y Mean return, % p.a. 15 15 Z 25 Standard Deviation, % p.a. 20 20 20 B= "GrimGT Gm (a) Note that each of the securities has the same standard deviation of returns but Z has a different expected return. Assuming that these assets (b) are priced in accordance with the CAPM, how can this situation 17- Vf+ lvm-rxcmplim different Coalition persist? with market What, if anything, can you say about the beta of security Z relative to securities X and Y? Explain your answer. risk