Which of the following is a phenomenon that necessarily rejects the CAPM? O A. When the risk-free rate of return is always constant at 2%, the return of a stock with no systematic risk at all is always 0%. B. The beta of value stocks is higher than the beta of growth stocks, and the return on value stocks is also higher than the beta of growth stocks. C. A stock with an annual volatility of 30% in returns arising from unique news has a beta of 1. D. A stock with a negative beta has a positive expected return.