The following table provides a security analyst's expected return on two stocks in two particular scenarios for the market return.

State	Probability	Market return %	Stock A return %	Stock B return %
Poor	0.25	4	5.5	3.8
Good	0.75	15	33	12.6

Consider the following statements.

I. The beta of stock A is greater than 3.

II. The beta of stock B is less than 1.

Which of the following is correct?

a.

Statement I is incorrect, Statement II is correct.

b.

Statements I and II are both incorrect.

c.

Statement I is correct, Statement II is incorrect.

d.

Statements I and II are both correct.