Stock A's beta is 1.2 and Stock B's beta is 0.6. Which of the following statements must be true, assuming the CAPM is correct?
A. Stock A would be a more desirable addition to a portfolio then Stock B
B. In equilibrium, the expected return on Stock A will be equal to the average market return
C. When held in isolation, Stock A has less risk than Stock B
D. In equilibrium, the expected return on Stock B will be less than the expected return on A
E. Stock B would be a more desirable addition to a portfolio than A