Consider the following statements.

I. On the basis of the single-index model, the covariance between the returns on stocks A and B is 0.0042. II. On the basis of the single-index model, the correlation between the returns on stocks A and B is 0.8042.

Which of the following is correct?

Jane is an analyst who has used the single-index model to regress the monthly excess returns of two stocks A and B on the monthly excess return on the market portfolio. The output of her regression analyses is shown in the following table