Which of A) Through D) Is FALSE

Multiple Choice

Which of a) through d) is FALSE?

A) If an asset's returns are distributed as normal, then its return distribution can be completely described by its mean and variance of return.
B) Returns on foreign stocks are leptokurtic.
C) Correlation and covariance measure how closely two assets move together.
D) The correlation coefficient between two assets is the covariance scaled by the standard deviations of the two assets.
E) All of the above are true