Question: You are considering the following two shares to construct a portfolio. The table below presents the relevant statistics: Share A Share B Expected return 0.14

You are considering the following two shares to construct a portfolio. The table below presents the relevant statistics:

Share A

Share B

Expected return

0.14

0.18

Standard deviation

20%

15.5%

beta

0.8

1.2

Correlation of share A and share B

-0.8

Which of the following statements is incorrect?

Select one:

a. The market risk of Share A is lower than Share B

b. Investors should hold Share B only because it has a lower risk and a higher return

c. The price of Share B is expected to move oppositely against the price of Share A

d. The systematic risk of Share A is lower than the market portfolio

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