The beta of Southeast has been estimated to be 0.85. Which of the following statements about Southeast is FALSE?
a. If the market rises by 1%, Southeast would be expected to rise by 1.85%.
b. If the market falls by 1%, Southeast would be expected to fall by 0.85%.
c. The sign of the covariance between Southeast and the market is greater than zero.
d. The covariance between Southeast and the market divided by the variance of the market is equal to 0.85.
e. Southeast is considered to be less risky compared to the market.