In a study conducted by Jagannathan and Wang, it was found that the performance of beta in explaining security returns could be considerably enhanced by ______________.
I. including the unsystematic risk of a stock
II. including human capital in the market portfolio
III. allowing for changes in beta over time
a. I and II only
B. II and III only
c. I and III only
d. I, II and III
Answer: B. II and III only