Securities A and B have betas of 1.66 and 0.72, respectively. The standard deviation of returns is 11.5% for security A and 22% for security B. Which security should earn higher expected return?
A) Security B, because its beta is lower.
B) Security A, because its standard deviation of returns is lower.
C) Security B, because its standard deviation of returns is higher.
D) Security A, because its beta is higher. E) Both security A and security B should earn the same expected rate of returns.