The Index Model Has Been Estimated for Stocks a and B

Multiple Choice

The index model has been estimated for stocks A and B with the following results: R_A = 0.01 + 0.8R_M + e_A.
R_B = 0.02 + 1.2R_M + e_B.
Σ_M = 0.20; σ(e_A) = 0.20; σ(e_B) = 0.10.
The standard deviation for stock A is

A) 0.0656.
B) 0.0676.
C) 0.2561.
D) 0.2600.