Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 10%. The risk-free rate of return is 3%. The stock earns a return that exceeds the risk-free rate by 11%, and there are no firm-specific events affecting the stock performance. The ? of the stock is
A. 1.57.
B. 0.75.
C. 1.17.
D. 1.33.
E. 1.50.
A. 1.57.
11% = 0% + b(7%); b = 1.571.
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