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21 23 Which statement below is incorrect? O A. Fama-French...

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Which statement below is incorrect? O A. Fama-French factors drive nsk premiums B. Assets with lower expected returns might be attractive if they have low correlation with the rest of the portfolio O C. Historically speaking, value stocks have beaten growth stocks D. CAPM is an imperfect asset pricing model O E. A mean-variance investor will include in his/her portfolio a risky asset only if it offers expected returns above the risk-free rate Insert appropriate prompt input type, and other instructions here The CAPM O A. is the least popular asset pricing model OB. can, in theory be used to find expected returns of all assets. OC. is not an equilibrium asset pricing model O D. is empirically accurate O E. suggests that a stock with a beta of zero is a risk-free asset Insert appropriate prompt input type, and other instructions here

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