Stock X has a beta of 0.6 and Stock Y has a beta of 1.10. Which of the following statements must be true about these securities? (Assume the market is in equilibrium.)
a. Stock Y would be a more desirable addition to a portfolio than Stock X.
b. The required return on Stock Y will be greater than that on Stock X.
c. The required return on Stock X and Stock Y will be the same.
d. Stock X would be a more desirable addition to a portfolio than Stock Y.
e. When held in isolation, Stock Y has more risk than Stock X.