The Index Model Has Been Estimated for Stocks a and B

question 73

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.
$\sigma$ _M = 0.20; $\sigma$ (e_A) = 0.20; $\sigma$ (e_B) = 0.10.
The standard deviation for stock A is

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

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