Which of the following statements about market model beta is FALSE?
A) Market model beta is estimated by regressing an asset's returns on market returns.
B) Market model beta captures that part of the variation in an individual asset that is linearly related to the market return.
C) Market model beta measures an asset's total risk.
D) Market model beta based on a covariance or correlation coefficient.
E) The beta of the risk-free asset is zero.

Question

Quizplus · Accepted Answer

Market model beta measures an asset's systematic risk, not total risk. Total risk includes both systematic and unsystematic risk.

Which of the Following Statements About Market Model Beta Is