Which of the following is FALSE if CAPM theory holds?

1. The intercept from a simple linear regression of the excess return of any security on the excess market return should be statistically insignificant (i.e., zero).

2. The market portfolio has a beta of -1 if you are selling the market portfolio.

3. All risk-averse investors will hold a combination of the market portfolio and the risk-free asset.

4. Retail traders cannot consistently earn a return higher than that predicted by the security market line.

5. A non-diversified investor will be compensated for holding idiosyncratic risk.