Stock a Has a Beta of 0

Multiple Choice

Stock A has a beta of 0.7, whereas Stock B has a beta of 1.3. Portfolio P has 50% invested in both A and B. Which of the following would occur if the market risk premium increased by 1% but the risk-free rate remained constantσ

A) the required return on both stocks would increase by 1%.
B) the required return on portfolio p would remain unchanged.
C) the required return on stock a would increase by more than 1%, while the return on stock b would increase by less than 1%.
D) the required return for stock a would fall, but the required return for stock b would increase.
E) the required return on portfolio p would increase by 1%.