Question: Holding all else constant, how does the expected return of an individual stock change as the variance of the market portfolio increases? Assume that the

Holding all else constant, how does the expected return of an individual stock change as the variance of the market portfolio increases? Assume that the CAPM holds and that the stock has a negative covariance with market.

Group of answer choices

The expected return decreases

The expected return increases

The variance of the market is unrelated to expected returns

None of the above

The expected return is unchanged

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