X Your answer is incorrect. Try again. Use the following three statements to answer this question: I. A security with a beta of zero implies that all of the variability in this security's return is diversifiable by any investor holding a well-diversified portfolio. II. A security with a beta of 1 implies that if the market increased (or decreased) by 1 percent, the return on the security would increase (decrease) by more than percent on average. III. A security that has a beta cannot be priced. X O I, II and III are correct. I, II and III are incorrect. O I is correct, II and III are incorrect. O I, II are incorrect, III is correct