Strongest evidence in support of the CAPM has come from demonstrating that
A) the market beta is equal to 1.0.
B) non-systematic risk has significant explanatory power in estimating security returns.
C) The average return-beta relationship is highly significant.
D) The intercept in tests of the excess returns-beta relationship is exactly zero.
E) professional investors do not generally out-perform market indexes,demonstrating that the market is efficient.
Correct Answer:
Verified
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