If you took all 500 companies in the S&P 500 and estimated their betas which of the following is true for the average Jensen's alpha and average beta across all 500 companies in the S&P500.

a.

Average beta = 1, Average Jensen's alpha=0

b.

Average beta = 1, Average Jensen's alpha=1

c.

Average beta = 0, Average Jensen's alpha=1

d.

Average beta = 0, Average Jensen's alpha=0