Which of the Following Statements Is True

Multiple Choice

Which of the following statements is true?

A) Beta is a measure of systematic risk reflecting the co-movement of the returns on a specific share with returns on shares in the same industry
B) Beta is a measure of unsystematic risk reflecting the co-movement of the returns on a specific share with returns on shares in the same industry.
C) Beta is a measure of unsystematic risk reflecting the co-movement of the returns on a specific share with returns on the market portfolio.
D) Beta is a measure of systematic risk reflecting the co-movement of the returns on a specific share with returns on the market portfolio.