Strongest Evidence in Support of the CAPM Has Come from Demonstrating

Multiple Choice

Strongest evidence in support of the CAPM has come from demonstrating that

A) the market beta is equal to 1.0.
B) nonsystematic risk has significant explanatory power in estimating security returns.
C) the average return-beta relationship is highly significant.
D) the intercept in tests of the excess returns-beta relationship is exactly zero.
E) professional investors do not generally outperform market indexes, demonstrating that the market is efficient.