The beta of Southeast has been estimated to be 0.85. Which of the following statements about Southeast is FALSE?

a.If the market rises by 1%, Southeast would be expected to rise by 1.85%.

b.The sign of the covariance between Southeast and the market is greater than zero.

c.If the market falls by 1%, Southeast would be expected to fall by 0.85%.

d.The covariance between Southeast and the market divided by the variance of the market is equal to 0.85.

e.Southeast is considered to be less risky compared to the market.