Considering the Capital Asset Pricing Model, which of the following observations is incorrect?
A)In a well-diversified portfolio, unsystematic risk can be largely diversified away.
B)Systematic risk is considered to be a diversifiable risk.
C)Total risk is the sum of systematic risk and unsystematic risk.
D)Systematic risk reflects the co-movement of a stock with the market portfolio.
E)Unsystematic risk is specific to the firm.

Question

Quizplus · Accepted Answer

Systematic risk is considered to be a non-diversifiable risk, as it is related to the overall market movements and cannot be eliminated through diversification.

Considering the Capital Asset Pricing Model, Which of the Following