It may happen when yu come across stocks that can act as insurance, investors may require lower expected return even negative return. Tenically, if you put negative beta (i.e. insurance stock) into CAPM, it is possible to negative result, which is consistent with the statement above.

In your question, all stocks does not necessarily have expected returns that are greater than zero theoretically, althought they do in most real-world cases.

NO , because Beta can be negative.

No,the reason is that the market return may be under the risk-free return.but this is not always set up.

market return may be under the risk-free return? how come?