Which of the following statements is FALSE?
A) The risk premium of any marketable security can be written as the sum of the risk premium of each factor multiplied by the sensitivity of the stock with that factor.
B) The factor betas measure the sensitivity of the stock to a particular factor.
C) If we use more than one portfolio as factors,then together these factors will capture systematic risk,but each factor captures different components of the systematic risk.
D) When we use more than one portfolio to capture risk,the model is known as a single-factor model.
Correct Answer:
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