Consider the Following Two Statements About Inflation Betas: (I) If

Multiple Choice

Consider the following two statements about inflation betas: (i) If a company's share price return is negatively related to the risk of inflation, it has a positive
Inflation beta.
(ii) Inflation betas are either positive for all equities, or negative for all equities, since inflation is a
Systematic risk factor.

A) (i) is correct, and (ii) is incorrect.
B) (ii) is correct and (i) is incorrect.
C) Both (i) and (ii) are correct.
D) Both (i) and (ii) are incorrect.
E) Inflation is never priced in the APT.