Which one of the following statements is/are correct?

I) A beta of 1.2 indicates that a security has more risk than the overall market.

II) U.S. Treasury bills have a beta of zero.

III) A stock with a beta of 1.4 has less systematic risk than a stock with a beta of .9.

IV) The risk associated with a stock will decrease as the beta of the stock increases.

Group of answer choices

I and II

II and III

III and IV

I, II and III

I, II, II and IV