Which of the following statements is INCORRECT? L.) The best measure of risk for a single asset held in isolation is coefficient of variation, and the best measure for an asset held in a diversified portfolio is beta. (HINT: Assigned-End-of-Chapter Questions Q5) U The beta coefficient of a stock is normally found by regressing past returns on a stock against past market returns. (HINT: Slide 28] L.) If a stock did have a beta of 1.0, then, by the security market line (SMJL, its required rate of return would be equal to the risk-free (default-free) rate of return, rRF. (HINT: Write down SML to make yourjudgements.) (E) Any change in its beta is likely to affect the required rate of return on a stock, which implies that a change in beta will likely have an impact on the stock's price, other things held constant. (HINT: Write down SML to make your judgements; Slides 39~40; Assigned-End-of-Chapter Questions Q9) (5:3 According to SML {security market line), the risk premium on a high-beta stock would increase more than that on a low-beta stock. ((HINT: Slide 43; Assigned End-of-Chapter Questions Q87)