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 return of stock B increases by 7%. III. If CAPM is correct, the expected return from non-systematic risk is zero. O a. Both I and II are correct. O b. Only Il is correct. OC. Only III is correct O d. Both II and III are correct. O e. Both I and III are correct