First, you get money from the sale of the share of stock. Second, you incur an obligation to return a share of the same stock in the future. If the stock price drops, you can fulfill your obligation by buying a share on the market for less that the price at which you shorted it. The more the price drops the more you profit. Of course, if the price rises, you lose.
All investors can borrow and lend at the riskless rate.
Shares of the market may be purchased and shorted without transactions costs. Asset A has a beta of 1.3. As with the market, shares of A may be shorted and purchased without transactions costs. This is a logical inconsistency if the index model were true. In practical terms it is underpriced.