Beta and CAPM Is it possible that a risky asset could have a beta of z

QUESTION

Beta and CAPM Is it possible that a risky asset could have a beta of zero? Explain. Based on the CAPM, what is the expected return on such an asset? Is it possible that a risky asset could have a negative beta? What does the CAPM predict about the expected return on such an asset? Can you give an explanation for your answer?
Yes, it is possible to construct a zero beta porfolio of risky assets with its return equal to the risk-free rate. It is possible to have a negative beta, the return would be less than the¦

risk-free rate. A negative beta asset would have a negative risk premium because of the value as a diversification instrument.

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