Securities A and B have betas of 1.15 and 1.41, respectively. The standard deviation of returns is 22% for security A and 12% for security B. Which security should earn higher expected return?

A) Their expected returns should be the same

B) Security B, because its beta is higher.

C) Security A, because its standard deviation of returns is higher.

D) Security A, because its beta is lower.

E) Security B, because its standard deviation of returns is lower.