单选题 When the underlying assumption of zero transactions costs is relaxed, the CAPM produces: A. a capital market line that is no longer straight. B. several different security market lines. C. a band of returns instead of a security market line.

【正确答案】 C

【答案解析】With positive transactions costs, there will be rates of return on both sides of the SML for which the cost of trading will be greater than the expected gains from trading. This means there is a band of expected returns for each level of systematic risk that is consistent with efficient pricing, once transactions costs are considered.