Which of the following statements is FALSE?

I. The statement that stock prices follow a random walk implies that the autocorrelation coefficient is either +1.0 or -1.0.

II. An advantage of efficient markets is that everyone should be able to borrow and lend at the same interest rate.

III. An implication of efficient markets is that the only way an investor can expect to increase his expected return is to increase the risk of his portfolio.

IV. If the stock market is at least semi-strong efficient then you are likely to find underpriced and overpriced securities by conducting a thorough analysis of a firms financial statements.

a. III only b. I and IV only c. I, II, and IV only d. I, II, III, and IV

(I and IV is definitely wrong, but stuck with II and III)