Which of the following statements is FALSE?

i) Investments with higher volatility have higher systematic risk.

ii) Investments with higher beta should have a higher unsystematic risk and, therefore, higher returns.

iii) Apples stock with a beta of 1.4 moves less than the market return.

iv) Riskier investments (i.e. stocks with high beta) must offer investors higher average returns to compensate them for the higher risk they are taking on.

• A.

  ii and iii

• B.

  i and iii

• C.

  i and ii

• D.

  i, ii and iii