You Have the Following Data on (1) the Average Annual

Multiple Choice

You have the following data on (1) the average annual returns of the market for the past 5 years and (2) similar information on Stocks A and B.Which of the possible answers best describes the historical betas for A and B? $$\begin{array} { c r r c } \text { Years } & \text { Market } & \text { Stock A } & \text { Stock B } \\\hline 1 & 0.03 & 0.16 & 0.05 \\2 & -0.05 & 0.20 & 0.05 \\3 & 0.01 & 0.18 & 0.05 \\4 & -0.10 & 0.25 & 0.05 \\5 & 0.06 & 0.14 & 0.05\end{array}$$

A) b_A > +1; b_B = 0.
B) b_A = 0; b_B = ?1.
C) b_A < 0; b_B = 0.
D) b_A < ?1; b_B = 1.
E) b_A > 0; b_B = 1.