Which of the following statements are FALSE?

I. The Security Market Line (SML) displays the relationship between expected return on investment and standard deviation of return. If a security plots below the SML, it is offering too little return to justify its risk.

II. If a stock lies below the SML, it is overpriced and it presents a selling opportunity.

III. The expected return on an investment with a beta of 2.0 is twice as high as the expected return on the market.

IV. The CAPM implies that if you could find an investment with a negative beta, its expected return would be less than the risk-free rate of return.

a) I and II only

b) I and III only

c) II and IV only

d) I, II, III and IV