試題詳解

13. Which of the following is consistent with the CAPM and efficient capital markets?
(A) A security with a beta of 1 has a return last year of 8% when the market has a return of 12%.
(B) A security with only systematic risk has an expected return that exceeds the risk-free interest rate.
(C) A security with only diversifiable risk has an expected return that exceeds the risk-free interest rate.
(D) Small stocks with a beta of 1.5 tend to have higher returns on average than large stocks with a beta of 1.5.