Which of the following statements about the correlation coefficient is correct? I. Positive correlation coefficients imply that the returns on security A tend to move in the same direction as those on security B II. A correlation coefficient of 0.7 implies that if the returns on security A increase by 10%, the returns on security B will increase by 7% III. A correlation coefficient of 0 implies that if the returns on security A increase by 10%, the returns on security B will stay stable O a. I and III are correct O b. II and III are correct Oc. All statements are correct Od. I and II are correct e. Only I is correct