What is the expected return of a zero-beta security?
A)The market rate of return.
B)Zero rate of return.
C)A negative rate of return.
D)The risk-free rate.
E)None of the above.

Question

Quizplus · Accepted Answer

The expected return of a zero-beta security would be the risk-free rate of return. This is because a zero-beta security has no systematic risk and therefore only earns a return based on the risk-free rate.

What Is the Expected Return of a Zero-Beta Security