Algorithm for Minimum spanning tree

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I was wondering if the following one is an algorithm that finds a MST for an edge-weighted graph G.

START: G'=G

RECURSION: If G' is acyclic, the algorithm returns G'. If there's a cycle C in G' and e is the maximum weighted edge in C: remove e from G'.

I can't find a counterexample but I'm not sure how to prove this.