An all equity firm is considering the following projects: Project A has a beta of 0.7 and expected return of 10%; Project B has a beta of 0.9 and expected return of 10%; Project C has a beta of 1.2 and expected return of 12%. Given that the risk free rate is 5% and the market return is 11%, which of the projects should be accepted?

A.

Project C

B.

Project A

C.

Project B and Project C

D.

Project B