Given the results of the early studies by Lintner (1965) and Miller and Scholes (1972), one would conclude that
A)high beta stocks tend to outperform the predictions of the CAPM.
B)low beta stocks tend to outperform the predictions of the CAPM.
C)there is no relationship between beta and the predictions of the CAPM.
D)high beta stocks and low beta stocks tend to outperform the predictions of the CAPM.

Question

Quizplus · Accepted Answer

The early studies by Lintner (1965) and Miller and Scholes (1972) suggested that low beta stocks tend to outperform the predictions of the Capital Asset Pricing Model (CAPM), indicating anomalies in the model's predictions regarding expected returns based on market risk (beta).

Given the Results of the Early Studies by Lintner (1965)