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Which of the following statements about CAPM is false? a. The expected return of a zero-beta security or portfolio equals risk free rate. b. The

Which of the following statements about CAPM is false?

a.

The expected return of a zero-beta security or portfolio equals risk free rate.
b.

The risk premium an investor expects to receive on any stock or portfolio increases with beta.
c.

On equilibrium, only systematic risk is compensated by return.
d.

The beta of the market portfolio equals zero.
e.

Beta measures systematic risk.

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