Which of the following statements is FALSE?

A. All investors should demand the same efficient portfolio of securities in the same proportions. (NOT the correct answer)

B. The CAPM identifies the market portfolio as the efficient portfolio.

C. If investors hold the efficient portfolio, then the cost of capital for any investment project is equal to its required return calculated using its beta with the efficient portfolio.

D. The Capital Asset Pricing Model (CAPM) allows corporate executives to identify the efficient portfolio (of risky assets) by using knowledge of the expected return of each security.