$11$me $1$t U$\mathrm{.}55$:$17$

The below excel output shows the regression results of monthly Stock A excess return on monthly S&P$500$ excess return:

Regression Statistics

$\backslash$table$[[$Multiple R$,0\mathrm{.}4443,,,],[$R Square,$0\mathrm{.}1974,,,],[$Adjusted R Squar,$0\mathrm{.}1958,,,],[$Standard Error,$0\mathrm{.}0622,,,],[$Observations$,486,,,],[10,$Coefficients,Standard Error,$r$ t Stat,$P-$value$],[$Intercept$,0\mathrm{.}011,0\mathrm{.}003,3\mathrm{.}906,0\mathrm{.}000],[$S&P$500,0\mathrm{.}698,0\mathrm{.}064,10\mathrm{.}912,0\mathrm{.}000]]$

Which of the following interpretations of the above regression output ars incorrect?

I. The model explains $44\mathrm{.}43\%$ of the variation of Stock A

II$.$ The model cannot explain $80\mathrm{.}26\%$ of the variation of Stock A

III. Stock A is less risky than average stocks in the market portfolio

IV$.$ Stock A$\text{'}$s alpha is insignificant

a$.$ II and III

b$.$ I and IV

c$.$ II and IV

d$.$ II$,$ III, and IV

e$.$ I and III