Final answer:
Macro risk exposure affects the cost of capital since it encompasses economic risks that can impact an entire market or economy, influencing all firms and investments, but not equally across all entities. The correct answer is option: macro risk exposure affects the cost of capital.
Step-by-step explanation:
The correct statement concerning macro risk exposure is that it affects the cost of capital. Macro risk exposure is the risk of loss that can affect an entire market or economy, and hence, impacts all investment portfolios to varying degrees. It is a critical factor in determining the cost of capital for a firm since economic downturns or instability can result in increased cost and risk.
Contrastingly, micro risk exposure refers to the risk specific to an individual stock or industry and can be mitigated through diversification. It is important to note that not all firms face equal macro risk exposure due to different sensitivities to economic changes, and lastly, macro risk exposure is not only faced by portfolios of stocks but can affect various types of investments and assets.