Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) Securities that tend to move more than the market have betas higher than 0.
B) Securities whose returns tend to move in tandem with the market on average have a beta of 1.
C) Beta corresponds to the slope of the best fitting line in the plot of the security's excess returns versus the market's excess return.
D) The statistical technique that identifies the best-fitting line through a set of points is called linear regression.