LipTea Incorporated Purchases Raw Materials and Has Processing Plants Around

Multiple Choice

LipTea Incorporated purchases raw materials and has processing plants around the world. The standard deviation of the firm's equity returns is 1.2 times as great as the market's standard deviation of returns. If the correlation of LipTea's returns with the market's is 0.80, what is the systematic risk of the firm?

A) 1.50
B) 1.20
C) 0.96
D) There is not enough information to answer this question.