The Risk-Free Rate Is 3

Multiple Choice

The risk-free rate is 3.4% and the expected return on the market is 10.8%. Stock A has a beta of 1.18. For a given year, Stock A returned 13.6% while the market returned 11.8%. The systematic portion of the unexpected return was ________% and the unsystematic portion was ________%.

A) 1.045; .207
B) 1.145; .126
C) 1.180; .288
D) 1.344; 1.443
E) 1.500; 1.449