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An analyst examines the correlation of a sample of stock returns and finds that it is 0.60. She then divides the sample in half based on the volatility of stock returns, sample A has the highest volatility and sample B has the lowest volatility. The correlations in sample A and sample B will be, respectively: A. higher than 0.60, lower than 0.60. B. both less than 0.60. C. lower than 0.60, higher than 0.60. |