Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) Many practitioners prefer to use average industry betas rather than individual stock betas.
B) When estimating beta by using past returns it is best to use the longest time horizon of returns available.
C) The CAPM predicts that a security's expected return depends on its beta with regard to the market portfolio of all risky investments available to investors.
D) If we use too short a time horizon when estimating beta, our estimate of beta will be unreliable.