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

Select one:

a. An index fund with beta = 1.0 should have a required return of 11%.

b. If a stock has a negative beta, its required return must also be negative.

c. An index fund with beta = 1.0 should have a required return less than 11%.

d. If a stock's beta doubles, its required return must also double.

e. An index fund with beta = 1.0 should have a required return greater than 11%.