Use the information about Company X below to help answer this question:

Cost of Equity 12.0%

US Government 10Y Bonds 3.0%

Expected Market Return 15.0%

Based on the company's beta, which of the following statements (I,II) is (are) TRUE:

I. The company is most likely a cyclical stock

II. The company's share price is less sensitive to changes in the SP500 than the share price of the average company in the SP500

HINT: Use the Security Market Line method; the market (by definition) has a beta of 1.00

a) I b) II c) I & II d) None of the statements e) All of the statements