The correct answer is: B. beta risk
Beta risk is a measure of the volatility of a stock relative to the market. It is calculated by regressing the stock’s returns against the market’s returns. A stock with a beta of 1 has the same volatility as the market, while a stock with a beta of 2 is twice as volatile as the market.
Well-diversified stockholders are not concerned with expected risk, as this risk is diversified away by holding a portfolio of stocks. They are also not concerned with industry risk, as this risk can be diversified away by holding stocks from different industries. Returning risk is not a valid measure of risk.
Beta risk is the only measure of risk that is relevant to well-diversified stockholders. This is because beta risk is the only risk that cannot be diversified away.