Given the results of the early studies by Lintner (1965)and Miller and Scholes (1972),one would conclude that
A)high beta stocks tend to outperform the predictions of the CAPM.
B)low beta stocks tend to outperform the predictions of the CAPM.
C)there is no relationship between beta and the predictions of the CAPM.
D)A and B.
E)none of the above.

Question

Quizplus · Accepted Answer

Early studies by Lintner and Miller and Scholes found that low beta stocks tend to outperform the predictions of the CAPM, suggesting that the relationship between beta and expected returns is flatter than predicted by the CAPM.

Given the Results of the Early Studies by Lintner (1965)and