Which of the Below Statements Is FALSE

Multiple Choice

Which of the below statements is FALSE?

A) The major difficulty in testing the CAPM is that the model is stated in terms of investors' expectations and not in terms of realized returns.
B) The expected risk premium should be equal to the quantity of risk (as measured by beta) and the market price of risk (as measured by the expected market risk premium) .
C) Empirical tests find a significant positive relationship between realized returns and systematic risk as measured by beta but the estimate of the average market risk premium is usually less than that predicted by the CAPM.
D) Empirical tests find evidence of significant curvature in the risk/return relationship.