Stock A" has a level of systematic risk, Beta_A = 1.5, and statistics show that the expected return on the market portfolio is 12% and the risk-free rate is 4%. "A* has an observed rate
of return of 12%.
Which of the following statements are true regarding A
Its Treynor ratio is lower than Treynor's ratio for M
I| It will be sold in the "market" to restore equilibrium
III It will have a lower Sharpe ratio than M