Which of the following statements is FALSE?
A)We refer to the beta of a security with the market portfolio simply as the 'securities beta'.
B)The risk premium of a security is equal to the market risk premium (the amount by which the market's expected return exceeds the risk-free rate)divided by the amount of market risk present in the security's returns measured by its beta with the market.
C)A security with a negative beta has a negative correlation with the market, which means that this security tends to perform well when the rest of the market is doing poorly.
D)There is a linear relationship between a share's beta and its expected return.

Question

Quizplus · Accepted Answer

The risk premium of a security is not equal to the market risk premium divided by the amount of market risk present in the security's returns measured by its beta with the market. The risk premium is the excess return that investors demand for holding a risky asset over a risk-free asset.

Which of the Following Statements Is FALSE