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Which of the following statements about the market beta is correct? A. The market beta captures the risk contribution of a project to the market

Which of the following statements about the market beta is correct?

  • A. The market beta captures the risk contribution of a project to the market portfolio.
  • B. A project with a high Sharpe ratio always has a high market beta.
  • C. A project with a high covariance with the market returns always has a low market beta.
  • D. A project with a high standard deviation of returns always has a high market beta.

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