Abe Is Calculating a Stock Investment Risk $\beta$ $\ge$ 1 H_A

Multiple Choice

Abe is calculating a stock investment risk. If the hypothesis is H₀ : $\beta$ $\ge$ 1 H_A : $\beta$ < 1, and the p-value 0.027, and $\alpha$ = 0.05 is the investment riskier than the market?

A) $\beta$ is equal to one, so the investment is less risky than the market.
B) $\beta$ is more than one, so the investment is riskier than the market.
C) $\beta$ is less than one, so the investment is less risky than the market.
D) $\beta$ is less than one, so the investment is riskier than the market.