单选题 With respect to the security market line, if two risky assets have the same covariance with the market portfolio but have different estimated rates of return, the most accurate conclusion is that the two risky assets have:

A、 the same amount of systematic risk, and both assets are properly valued.
B、 different amount of systematic risk, and both assets are properly valued.
C、 The same amount of systematic risk, and at least one of the assets is either overvalued or undervalued.

【正确答案】 C

【答案解析】Beta is the covariance of an asset with the market portfolio divided by the variance of the market portfolio. The variance of the market portfolio is the same for all assets, so if the covariance with the market portfolio is the same, the assets must have the same beta (amount of systematic risk) , should plot at the same place on the SML; and have the same required rate of return. If the estimated rates of return for the two assets are different, at least one of them is not properly valued and will not plot on the SML.