The part of a stock's return that is systematic is a function of which of the following variables?
I. Volatility in excess returns of the stock market
II. The sensitivity of the stock's returns to changes in the stock market
III. The variance in the stock's returns that is unrelated to the overall stock market

A) I only
B) I and II only
C) II and III only
D) I, II, and III

Volatility

A statistical measure of the dispersion of returns for a given security or market index, often used to quantify the risk of the security or market.

Sensitivity

The degree to which a financial asset's price responds to changes in underlying factors, such as interest rates or market volatility.

Systematic

Refers to the risk inherent to the entire market or market segment, which cannot be eliminated through diversification.