Which of the Following Statements Is False

Which of the following statements is false?

A) In exchange for bearing systematic risk, investors want to be compensated by earning a higher return.
B) A key step to measuring systematic risk is finding a portfolio that contains only unsystematic risk.
C) When evaluating the risk of an investment, an investor will care about its systematic risk, which cannot be eliminated through diversification.
D) To measure the systematic risk of a stock, we must determine how much of the variability of its return is due to systematic, market-wide risks versus diversifiable, firm-specific risks.