Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) Beta is the expected percent change in the excess return of the security for a 1% change in the excess return of the market portfolio.
B) Beta represents the amount by which risks that affect the overall market are amplified for a given stock or investment.
C) It is common practice to estimate beta based on the historical correlation and volatilities.
D) Beta measures the diversifiable risk of a security, as opposed to its market risk, and is the appropriate measure of the risk of a security for an investor holding the market portfolio.