Which of the following statements is not true regarding the CAPM?
A) If a share's expected return is 2% and the expected return on the market portfolio is 11%,the share's beta must be negative.
B) In equilibrium,all risky assets are priced such that their expected return lies on the security market line.
C) Investors do not differ in their attitudes towards risk.
D) A and B
E) A and C
Correct Answer:
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