Incorrect answer icon Your answer is incorrect. Use the following three statements to answer this question:

I. A security with a beta of zero implies that all of the variability in this securitys return is diversifiable by any investor holding a well-diversified portfolio.

II. A security with a beta of 1 implies that if the market increased (or decreased) by 1%, the return on the security would increase (decrease) by more than 1% on average.

III. A security that has a beta value cannot be priced.

A. I is correct, II and III are incorrect.

B. I, II and III are incorrect.

C. I, II are incorrect, III is correct.

D. I, II and III are correct.