5 Use the following three statement to answer this question: 1. Negative beta implies a negative standard deviation II. PAB = 0.7 (correlation) implies that when the return of stock A increases by 10%, the return of stock B increases by 7%. III. If CAPM is correct, the expected return from non-systematic risk is zero. O a. Both and I are correct Ob. Only Il is correct Only III is correct O d. Both II and Ill are correct. OeBoth I and III are correct. Previous page 4 5 6 7 Finish atten 8 Next page