According to the Capital Asset Pricing Model (CAPM), Which One

Multiple Choice

According to the Capital Asset Pricing Model (CAPM) , which one of the following statements is NOT true?

A) The expected rate of return of a security decreases proportionally with a decrease in the risk-free rate.
B) The expected rate of return of a security increases as its beta increases.
C) A fairly priced security has an alpha of zero.
D) In equilibrium, all securities lie on the security market line.