Assume that the market risk premium is positive

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Assume the CAPM holds. Stock A has a beta of 1.2, and stock B has a beta of 1.1. Also assume that the market risk premium is positive. Which of the following is correct?

a) Stock A has higher idiosyncratic risk than stock B

b) Stock A has a higher expected return than stock B

c) Stock A has a higher total risk than stock B

d) Stock A has a higher variance than stock B

Reference no: EM131234541

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