Which of the Following Statements Is FALSE

Which of the following statements is FALSE?

A) The risk premium of a security is equal to the market risk premium divided by the amount of market risk present in the security's returns measured by its beta with the market.
B) The beta of a portfolio is the weighted average beta of the securities in the portfolio.
C) There is a linear relationship between a stock's beta and its expected return.
D) A security with a negative beta has a negative correlation with the market, which means that this security tends to perform well when the rest of the market is doing poorly.

Correct Answer:

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