Which of the following is incorrectabout single indexmodel ?I. Single index model assumes that security returns can be divided into systematic factor returns and firm-specific factor return.II. R-square of single index model tells us what fraction of a firms variance is attributed to firm-specific risk.III. Single index model predict that alpha should be zero for all assets.

A)I onlyB)II & III onlyC)I, II, & IIID)III only