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

Multiple Choice

The index model for stock A has been estimated with the following result:
R_A= 0.01 + 0.94R_M+ e_A
If β_M= 0.30 and R²_A= 0.28,the standard deviation of return of stock A is _________.

A) 0.2025
B) 0.2500
C) 0.4500
D) 0.5329
E) none of the above