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Which of the following is FALSE if CAPM holds. An asset with a negative beta must have a negative expected return. Assets that are uncorrelated

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Which of the following is FALSE if CAPM holds. An asset with a negative beta must have a negative expected return. Assets that are uncorrelated with the market portfolio have an expected return equal to the risk-free rate. An asset with a beta equal to 1 has an expected return equal to the market portfolio. Investors are only compensated for bearing systematic risk. All rational investors hold a combination of the market portfolio and the risk-free rate

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