Question: Is it A or something else as well please explain why If Stock A has a beta of 1.2 and Stock B has a beta

Is it A or something else as well please explain why

If Stock A has a beta of 1.2 and Stock B has a beta of 0.6, which of the following statements is TRUE? 1. Stock A has higher systematic risk than Stock B. II. Stock A must have more unsystematic risk than Stock B. III. If the expected return on the market is greater than the risk free rate of return, Stock A has a lower expected return than Stock B according to the CAPM. IV. A portfolio consisting of Stock A and Stock B (and no other assets) would have lower systematic risk than Stock B on its own. Tonly O I and II O I and III O I and IV O I, III, and IV

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