Asset A, Which Has an Expected Return of 12% and a Beta

Multiple Choice

Asset A, which has an expected return of 12% and a beta of 0.8, plots on the security market line. Which of the following is false about Asset B, another risky asset with a beta of 1.4?

A) If the market is in equilibrium, Asset B also plots on the SML.
B) If Asset B plots on the SML, then Asset B and Asset A have the same reward to risk ratio.
C) Asset B has more systematic risk than both Asset A and the market portfolio.
D) If Asset B plots on the SML with an expected return = 18%, then the risk-free rate must be 4%.
E) If Asset B plots on the SML with an expected return = 18%, the expected return on the market must be 15%.