Which of the following is a NOT an assumption of the CAPM?
A) All investors have different expectations about expected returns, standard deviations, and correlation coefficients for all securities.
B) All investors can borrow or lend money at the risk-free rate of return.
C) There are no transaction costs.
D) There are no personal income taxes so that investors are indifferent between capital gains and dividends.

Question

Quizplus · Accepted Answer

The CAPM assumes that all investors have the same expectations about expected returns, standard deviations, and correlation coefficients for all securities, which is known as the homogenous expectations assumption.

Which of the Following Is a NOT an Assumption of the CAPM