Explain whether the following statements about the CAPM are correct or not and clearly justify your answer.

i. A stock with a zero beta must have a zero return as it has no exposure to the market.

ii. The beta of a stock can be decomposed into market risk and idiosyncratic risk.

iii. The expected return on two stocks with the same beta will be the same if and only if they have the same level of idiosyncratic risk.

iv. If all investors hold a portfolio containing a combination of the market portfolio and the risk-free asset, they all must have the same level of risk aversion.