chetan86

Well, still have not found the text (a bit slow today :-)), but what you quote does not contradict what I mentioned.
IF we assume zero beta asset to have a higher return (does not have to be, if you put your money under the mattress, its real return is below zero), then the intercept is higher since the intercept is the return of the zero-beta portfolio. Since the intercept is higher, it makes the line flatter.