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Which of the following statements is FALSE? A. The beta of the market portfolio is 1 B. Beta measures the sensitivity of a security to

Which of the following statements is FALSE?

A. The beta of the market portfolio is 1

B. Beta measures the sensitivity of a security to systematic risk factors

C. If we assume that the market portfolio (or the S&P 500) is efficient, then changes in the value of the market portfolio represent systematic shocks to the economy.

D. None of the above

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