You have just estimated the beta of a stock and found that the beta is equal to zero. Which of the following statements is correct? (1 Mark)

a. Although the beta is equal to zero, the stock is not risk-free

b. A risk-averse investor would be indifferent between the stock and the risk-free asset

c. The risk-free rate is incorrectly estimated

d. The calculation of the beta is incorrect. Beta cannot be equal to zero