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Which of the following statements about CAPM is false? a. The risk premium an investor expects to receive on any stock or portfolio increases with

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Which of the following statements about CAPM is false? a. The risk premium an investor expects to receive on any stock or portfolio increases with beta. b. Beta measures systematic risk. c. On equilibrium, only systematic risk is compensated by return. d. The expected return of a zero-beta security or portfolio equals risk free rate. e. The beta of the market portfolio equals zero

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