Stock A has a systematic risk of A=0.75 The risk-free rate is RF=2% and the return on the market portfolio is RM=12% The last dividend paid was D0=$2.00. The growth rate of dividends in the first period is g1=5%, and from the second period on is g2+=0%.

Which of the following is/are true?

I. Stock A is essentially a no-growth stock

II. Stock As price will increase if its risk decreases

III. Stock As price will increase if the growth rate increases

a. I only

b. II only

c. III only

d. I and II only

e. I, II, and III