Which of the following statements is incorrect?

• A. If you selected a group of stocks whose returns are perfectly positively correlated, then you could end up with a portfolio for which none of the company-specific risk is diversified away.
• B. Market participants are able to eliminate virtually all market risk if they hold a large diversified portfolio of stocks.
• C. Risk-averse investors require higher rates of return on investments whose returns are highly uncertain, and most investors are risk averse.
• D. The market risk premium will increase if, on average, market participants become more risk averse.
• E. It is possible to have a situation in which the market risk of a single stock is less than the market risk of a portfolio of stocks.