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Diversifiable risk can be reduced by forming a large portfolio, but normally even highly-diversified portfolios are subject to market (or systematic) risk.
The expected return on Stock A should be greater than that on B
A security's beta measures its non-diversifiable, or market, risk relative to that of an average stock
The required return will fall for all stocks, but it will fall more for stocks with higher betas.
The required return on Stock A will increase by less than the increase in the market risk premium, while the required return on Stock C will increase by more than the increase in the market risk premium.