Fama and French claim that after controlling for firm size and the ratio of book value to market value, beta is insignificant in explaining stock returns. This claim
I. is supported by their analysis of historical stock return data
II. is based on a well developed theoretical model
III. implies that unsystematic risk is actually priced
A. I only
b. I and II only
c. II and III only
d. I, II and III
Answer: A. I only