Which of the following is FALSE? i) On average, smaller stocks have lower volatility than...

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Finance

Which of the following is FALSE?

i) On average, smaller stocks have lower volatility than Treasury bills.

ii) On average, Treasury bills have higher returns than stocks.

iii) In general, it is possible to eliminate systematic risk by holding a large portfolio of assets.

iv) The beta of the market portfolio is always 1.

  • A.

    i, iii, iv

  • B.

    i, ii, iii

  • C.

    All of the above

  • D.

    i, iii

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