The security market line (SML) shows the relationship between beta and expected return.

The following graph shows stocks' betas () and expected returns ():

Assume that the CAPM holds and expectations of stocks' returns and betas are correctly measured.

Which statement is NOT correct?

a.

Buying Stock E will lead to a zero NPV.

b.

Stock C is underpriced.

c.

Stock B has a negative excess return (a negative alpha).

d.

The price of Stock D will rise, and the excess return of Stock D will fall.

e.

Stock A has less systematic risk than the market portfolio.