Use the following three statement to answer this question: 1. Negative beta implies a negative standard deviation. II. PAB = 0.7 (correlation) implies that when the return of stock A increases by 10%, the retum of stock B increases III. If CAPM is correct, the expected return from non-systematic risk is zero. a. Both I and II are correct. Ob. Only Il is correct. OcOnly III is correct O d. Both II and Ill are correct. O e. Both I and Ill are correct