Use the Following Three Statements to Answer This Question

Multiple Choice

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%, the return on the security would increase (decrease) by more than 1% on average.
III.A security that has a beta value cannot be priced.

A) I, II and III are correct.
B) I, II and III are incorrect.
C) I is correct, II and III are incorrect.
D) I, II are incorrect, III is correct.