Which security has the greatest systematic risk?
A) Z because it has the largest standard deviation.
B) X because it has the largest beta coeﬃcient.
C) Z because it has a high beta and the largest standard deviation.
D) Y because it has the greatest diversiﬁable risk.
E) It is not possible to tell given the information above.

Question

Quizplus · Accepted Answer

Systematic risk is measured by the beta coefficient, which indicates how much a security's returns move with the overall market. The security with the largest beta coefficient, X, has the greatest systematic risk.

Which Security Has the Greatest Systematic Risk