单选题 A basic assumption of the capital asset pricing model (CAPM) is that there are no transaction costs. If this assumption is relaxed, which of the following would be the least likely to occur?

A. Diversification benefits will be realized up to the point that they offset transactions costs.
B. Each investor can have a unique view of a security market line.
C. Investors will not correct all mispricing.

【正确答案】 B

【答案解析】If the assumption of "no transaction cost" is relaxed, then investors will correct mispricing only up to the point where transaction costs begin to offset potential excess return. As a result, all securities will plot within a band around the SML. It also would impact diversification, since at some point the transaction cost will offset the benefits of diversification.