Assignment:
Currently in the market, the risk-free rate is 6% and the market risk premium [E(RM) - RF] is 5%. Based on this information, which of the following statements is most correct? Assume that CAPM is correct.
A If a stock has a negative beta, its required return must also be negative.
b. If a stock's beta doubles, its required return must also double.
c. A portfolio with a beta=1.0 has a required return of 11%.
d. Answers a. and c. are both correct.
e. Answers b. and c. are both correct.