Stocks A and B have the following data. The market risk premium is 6.0% and the risk-free rate is 6.4%. According to Capital Asset Pricing Model (CAPM), which of the following statements is CORRECT?

Beta for A: 1.10 Beta for B:.90

A. Stock A must have a higher expected return than Stock B.

B. Stock A must have a lower expected return than Stock B.

C. The expected return of Stock A is equal to that of Stock B.

D. None of the above is correct.