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. 1 CAPM is correct, the expected return from non-systematic risk is zero. O a. Both I and I are correct. Ob. Only Il is correct. Oc. Only Ill is correct d. Both Il and Ill are correct. e. Both I and Ill are correct