Considering the Capital Asset Pricing Model, Which of the Following

question 35

Multiple Choice

Considering the Capital Asset Pricing Model, which of the following observations is incorrect?

• A)In a well-diversified portfolio, unsystematic risk can be largely diversified away.
• B)Systematic risk is considered to be a diversifiable risk.
• C)Total risk is the sum of systematic risk and unsystematic risk.
• D)Systematic risk reflects the co-movement of a stock with the market portfolio.
• E)Unsystematic risk is specific to the firm.

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