Stock A has volatility of 10% and expected return of 2%. Stock B has volatility of 9% and expected return of 6%. Mark the correct choice under CAPM pricing model.

Select one:

a. Stock A is underpriced.

b. Stock A has higher market risk than stock B.

c. Stock A has lower diversifiable risk than stock B.

d. Stock A has lower non-diversifiable risk than stock B.