You observe the following regarding Companies X and Y:

Company X has a lower expected return than Company Y;

Company X has a higher standard deviation of returns than Company Y;

Company X has a higher beta than Company Y.

Given this information, which of the following statements is correct?

a. Company X has less market risk than Company Y.

b. Company X has more company-specific risk than Company Y.

c. Company X's returns will be negative when Y's returns are positive.

d. Company X has a higher coefficient of variation than Company Y.