Use the following three statement to answer this question:

Negative beta implies a negative standard deviation.

I. PAB = 0.7 (correlation) implies that when the return of stock A increases by 10%, the

return of stock B increases by 7%.

Ill. If CAPM is correct, the expected return from non-systematic risk is zero

a. Both | and I| are correct

O b. Only I is correct.

O c. Only Ill is correct

d. Both I and Ill are correct

e. Both I and Ill are correct