Which of the following statements about beta is correct?
A. If the returns on a stock vary widely, then its standard deviation is large, and as a result, the stock will also have a high beta coefficient.
B. A stock's standard deviation of returns is a measure of the stock's stand-alone risk, while its beta measures its unsystematic risk.
C. A portfolio that contains 100 high-beta stocks will not be riskier than a portfolio containing 100 low-beta stocks.
D. A stock that is perfectly positively correlated with the market cannot have a beta coefficient equal to 1.0.
E. A stock with a negative beta has very high firm-specific risk.
Answer: D
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