The Index Model for Stock B Has Been Estimated with the Following

Multiple Choice

The index model for stock B has been estimated with the following result:
R_B = 0.01 + 1.1R_M + e_B
If σ_M = 0.20 and R²_B = 0.50,the standard deviation of the return on stock B is _________.

A) 0.1111
B) 0.2111
C) 0.3111
D) 0.4111
E) none of these