Which of the following is false regarding beta coefficient?

A) It is an important component of the Capital Asset Pricing Model (CAPM)

B) If beta coefficient has a positive sign, stock price and market index will move in the same direction

C) The higher the beta coefficient the more the sensitivity of the stock price to the market index

D) It measures the volatility of returns relative to the expected stock price

E) Beta Coefficient is a determinant of risk Premium