Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) The risk premium of a security is equal to the market risk premium (the amount by which the market's expected return exceeds the risk-free rate) , divided by the amount of market risk present in the security's returns measured by its beta with the market.
B) We refer to the beta of a security with the market portfolio simply as the security's beta.
C) There is a linear relationship between a stock's beta and its expected return.
D) A security with a negative beta has a negative correlation with the market, which means that this security tends to perform well when the rest of the market is doing poorly.