The Traditional "Complaint" About Applying the CAPM to Real Estate

Multiple Choice

The traditional "complaint" about applying the CAPM to real estate is:

A) Real estate's classical CAPM "beta" with respect to the stock market is nearly zero, yet real estate seems to command a significant ex ante return risk premium.
B) Real estate's classical CAPM "beta" with respect to the stock market is very high, yet real estate seems to provide a very low ex post return risk premium.
C) Real estate has a moderate "beta" and a moderate ex ante return risk premium, even though it should be a low risk asset class.
D) Real estate seems to perform differently than other small cap assets regarding the Fama-French factors.