A. A stock with a negative beta could be just as volatile as the market as a whole. A stock with a beta of -1 has the same volatility as the market.

B. A risk-free security has a beta of zero. It does not have a negative beta.

C. Securities with negative betas (less than zero) are extremely rare; however, they do exist. A security with a negative beta is one that has historically tended to move against the market. A stock with a negative beta could be used to diversify a portfolio because of its countertrend characteristics. Stocks of companies in "defensive" industries such as consumer products and health care, as well as gold-mining stocks, could be candidates to have negative betas.

D. A negative beta does not mean that the security's return is negative.