A Major Finding by Heaton and Lucas (2000) Is That

A major finding by Heaton and Lucas (2000) is that

A) the market rate of return does not help explain the rate of return of individual securities, and CAPM must be rejected.
B) the market rate of return does explain the rate of return of individual securities.
C) the change in proprietary wealth helps explain the rate of return of individual securities.
D) the market rate of return does not help explain the rate of return of individual securities, and CAPM must be rejected, but the change in proprietary wealth helps explain the rate of return of individual securities.
E) None of the options are correct.