$12.[$Show Calculation$]$ Your opinion is that security C has an expected rate of return of $0\mathrm{.}11.$ It has a beta of $1\mathrm{.}1.$ The risk$-$free rate is $0\mathrm{.}04$ and the market expected rate of return is $0\mathrm{.}10.$ According to the Capital Asset Pricing Model, this security is

a$.$ underpriced.

b$.$ overpriced due to the alpha of $0\mathrm{.}4\%.$

c$.$ fairly priced.

d$.$ overpriced due to the alpha of $0\mathrm{.}6\%.$

e$.$ cannot be determined from data provided.