1. A security with a beta of zero implies that all of the variability in this security's return is diversifiable by any investor holding a well- diversified portfolio. II. A security with a beta of 1 implies that if the market increased (or decreased) by 1%, the return on the security would increase (decrease) by more than 1% on average. III. A security that has a beta value cannot be priced. I is correct, II and III are incorrect. OI, II and III are incorrect. I, II and III are correct. I, II are incorrect, III is correct.