Question 6 Assume that the CAPM assumptions hold. Which of the statements below is FALSE: Not yet answered Marked out of 1.00 i. A stock with a beta above one will tend to move in the same direction as the market and will tend to move more aggressively in that direction than the market does. ii. A stock with a positive beta must have returns that correlate positively with the returns of the market portfolio. iii. A stock with a positive beta is risky and therefore should earn an expected return above the risk-free rate. P Flag question Select one: O a. Only statement ii O b. None of the listed statements is false O c. Only statement iii O d. Only statement