Which of the following statements is FALSE?

a. A security with only systematic risk has an expected return that exceeds the risk-free interest rate.

b. Because the risk that determines expected returns is systematic risk, which is measured by beta, according to CAPM the cost of capital for an investment is the expected return available on securities with the same beta.

c. The CAPM is primarily a theoretical model and is rarely used in practice to estimate the cost of capital.

d. If the market portfolio were not efficient, investors could find strategies that would "beat the market" with higher average returns and lower risk.