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Which one of these statements is true? a The betas used in the CAPM must be greater than 1 but less than 2. b By

Which one of these statements is true?

a The betas used in the CAPM must be greater than 1 but less than 2.
b By convention, the market is given a beta of zero.
c There is zero chance of default on a U.S. Treasury bill.
d A U.S. Treasury bill has a beta of zero.
e The rate of return on a U.S. Treasury bill is used as the value of RM in the CAPM.

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