For all the statements below, assume that the Capital Asset Pricing Model (CAPM) is the correct model of returns. Indicate which statements are TRUE, (mark all statements which are true).
Select one or more:
A- A stock with a beta lower than 1 should have an expected return equal to the market portfolio
B- The beta of a stock must be between -1 and 1 inclusive (i.e. ?1?Beta?1)
C- A stock with a beta lower than 1 should have an expected return higher than the market portfolio
D- The beta of a stock can never be zero
E- A stock which plots on the Security Market Line (SML) would be undervalued and should be purchased
F- A stock which plots above the Security Market Line (SML) would be undervalued and should be purchased
G- A stock which plots below the Security Market Line (SML) would be undervalued and should be purchased
H- A stock with a beta lower than 1 should have an expected return lower than the market portfolio
