According to the Capital Asset Pricing Model (CAPM),which One of the Following

Multiple Choice

According to the Capital Asset Pricing Model (CAPM) ,which one of the following statements is false?

A) The expected rate of return on a security increases in direct proportion to a decrease in the risk-free rate.
B) The expected rate of return on 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.
E) All of the above statements are true.