The Y-axis intercept of the SML indicates the return on the individual asset when the realised return on an average share (beta = 1.0) is zero.

Name: The Y-axis intercept of the SML indicates the return on the individual asset when the realised return on an average share (beta = 1.0) is zero.
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The Y-axis intercept of the Security Market Line (SML) represents the risk-free rate, not the return on an individual asset when the average share's return is zero.

The Y-Axis Intercept of the SML Indicates the Return on the Individual