Assume that the risk-free rate is 6% and the market risk premium is 5%. Given this information, which of the following statements is most correct?

Select one:

a. If a stock has a negative beta, its required return must also be negative.b. An index fund with beta = 1.0 should have a required return less than 11%.c. If a stock's beta doubles, its required return must also double.d. An index fund with beta = 1.0 should have a required return greater than 11%.e. An index fund with beta = 1.0 should have a required return of 11%