Kandel and Stambaugh (1995)expanded Roll's Critique of the CAPM by Arguing

Kandel and Stambaugh (1995) expanded Roll's critique of the CAPM by arguing that tests rejecting a positive relationship between average return and beta are demonstrating

A) the inefficiency of the market proxy used in the tests.
B) that the relationship between average return and beta is not linear.
C) that the relationship between average return and beta is negative.
D) the need for a better way of explaining security returns.
E) none of these