The correct answer is A. I only.
Here's the reasoning:
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I. It is a physical change. (True) When the paper gets wet, it absorbs water. This is a physical change because the paper's composition remains the same; it is still paper, albeit damp.
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II. It makes a new substance. (False) The wet paper is not a new substance. It remains paper, just in a different state (damp rather than dry).
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III. It is a chemical change. (False) A chemical change involves the formation of a new substance. Since the paper does not change into a new substance when it gets wet, this statement is incorrect.
Thus, only statement I is true.