Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) If two stocks move in opposite directions, one will tend to be above average when to other is below average, and the covariance will be negative.
B) The correlation between two stocks has the same sign as their covariance, so it has a similar interpretation.
C) The covariance of a stock with itself is simply its variance.
D) The covariance allows us to gauge the strength of the relationship between stocks.