The Part of a Stock's Return That Is Systematic Is

Multiple Choice

The part of a stock's return that is systematic is a function of which of the following variables?
I. Volatility in excess returns of the stock market
II. The sensitivity of the stock's returns to changes in the stock market
III. The variance in the stock's returns that is unrelated to the overall stock market

A) I only
B) I and II only
C) II and III only
D) I, II, and III