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According to the CAPM, which of the following is FALSE: ...

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Finance

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According to the CAPM, which of the following is FALSE:

A stock with high systematic risk, measured as beta, will have high expected returns in equilibrium.

Investors will choose to hold the individual stock with the highest Sharpe Ratio.

None of the above.
Which of the statements about the Arbitrage Pricing Theory MUST BE TRUE? [U] There is only one systematic risk, the market risk. [11] Risk factors have positive loading. In equilibrium, investors cannot make profits without taking risks. 0 I only O ll only O I and II only O II and III only Ill only

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