A Security Held in a Large,well-Diversified Portfolio That Has a Beta

question 19

Multiple Choice

A security held in a large,well-diversified portfolio that has a beta of zero in a one-factor model will have an actual return:

• A)of zero.
• B)closely equal to the market risk premium.
• C)closely equal to the expected return.
• D)that is positive and less than the risk-free rate.
• E)that is less than the risk-free rate and can be negative.