Consider the Single-Index Model

Multiple Choice

Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 10%. The risk-free rate of return is 3%. 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) 1.57.
B) 0.75.
C) 1.17.
D) 1.33.
E) 1.50.