Which of the Following Is/are True Regarding a Stock with a Beta

Multiple Choice

Which of the following is/are true regarding a stock with a beta of 1.2?
I. The stock has 20 percent more systematic risk than the market.
II. If the market increases by one percent, the stock will increase by 1.2 percent.
III. The stock has a greater expected return than the market.
IV. The stock has a greater reward-to-risk ratio than the market.

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