In the results of the earliest estimations of the security market line by Lintner (1965) and by Miller and Scholes (1972), it was found that the average difference between a stock's return and the risk-free rate was ________ to its nonsystematic risk.
A)positively related
B)negatively related
C)unrelated
D)related in a nonlinear fashion
E)None of the options

Question

Quizplus · Accepted Answer

These results were surprising, as it was expected that systematic, not nonsystematic, risk would be positively related to stock returns.

In the Results of the Earliest Estimations of the Security