问题
单项选择题
Stock K has a beta of 0.7. Which of the following statements is/are true Ⅰ. The SML required return for K should be below the expected return on the market. Ⅱ. K has above-average covariance with the market portfolio, M Ⅲ. A portfolio of 70% M and 30% risk-free asset will have the same expected return as K（）
A. Ⅰ and Ⅲ.
B. Ⅱ only.
C. Ⅱ and Ⅲ.
答案
参考答案：A
解析：
To have a beta below 1.0, K must have below-average covariance with the market portfolio.