Which One of These Statements Is True

Multiple Choice

Which one of these statements is true?

A) The betas used in the CAPM must be greater than 1 but less than 2.
B) By convention,the market is given a beta of zero.
C) There is zero chance of default on a U.S.Treasury bill.
D) A U.S.Treasury bill has a beta of zero.
E) The rate of return on a U.S.Treasury bill is used as the value of RM in the CAPM.