Given the following single index model:

$()=+()+.$

Which of the following statements is $/$ are true?

I. in a competitive market expected value of $$ is zero.

II$.$ the mean of$$ e$$ is zero.

III. The variance of$$ e$$ measures non$-$diversifiable risk.

$$

$$

$$

Group of answer choices

III Only

II and III only.

II Only

I and II only.