Stock Y Has a Standard Deviation of 22 Percent and a Covariance

Multiple Choice

Stock Y has a standard deviation of 22 percent and a covariance with the market of 0.081.The expected return of the market is 14 percent with a standard deviation of 18 percent.The risk-free rate is 5.25 percent.What is the beta of Stock Y?

A) 0.37
B) 0.45
C) 1.67
D) 2.50