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The Index Model Has Been Estimated for Stocks a and B

Question 85

Multiple Choice

The index model has been estimated for stocks A and B with the following results: RA = 0.01 + 0.6RM + eA.
RB = 0.02 + 1.2RM + eB.
ΣM = 0.30; σ(eA) = 0.20; σ(eB) = 0.10.
The standard deviation for stock A is


A) 0.0656.
B) 0.0676.
C) 0.3499.
D) 0.2600.

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