Consider the Single-Index Model

Multiple Choice

Consider the single-index model. The alpha of a stock is 2%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11%, and there are no firm-specific events affecting the stock performance. The β of the stock is

A) 0.67.
B) 0.75.
C) 0.82.
D) 1.33.
E) 1.50.