Security A has a beta of .99, security B has a beta of 1.2, and security C has a beta of -1.0. This information indicates that
A) security A has the highest degree of market risk.
B) security B has 20% more systematic risk than the market.
C) security C has the highest degree of market risk.
D) security C would be the best investment if a strong bull market is expected.

Question

Quizplus · Accepted Answer

Security B has a beta of 1.2, which means it has 20% more systematic risk than the market, as the market beta is 1.0.

Security a Has a Beta of