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Question 18 The following are five IT stocks' statistical profilesthe risk-free rate is 1.1%. FB 201601-202012 Excess return (%) Standard dev (%) Sharpe ratio Alpha (%) Market beta Size (SMB) beta B/M (HML) beta AAPL AMZN NFLX GOOGL 22.0 37.7 34.7 36.8 17.6 28.0 30.1 28.7 37.1 21.6 0.75 1.22 1.17 0.96 0.76 0.0 0.8 0.5 1.0 0.1 1.25 1.39 1.05 1.43 -0.48 -0.37 -0.34 -0.42 1.08 -0.18 -0.91 -0.52 -0.91 -0.73 -0.15 According to the statistics, which of the following statements regarding the five stocks is true? B NFLX has the highest systematic risk AMZN has the highest firm-specific risk AAPL has the steepest security characteristic line slope FB is the most underpriced stock per this factor model D