If ?M = 0.30 and R2A = 0.28, the standard deviation of return of stock A is
The index model for stock A has been estimated with the following result:
RA = 0.01 + 0.94RM + eA
A. 0.2025.
B. 0.2500.
C. 0.4500.
D. 0.5329.
D. 0.5329.
R2 = b2s2M/s2; s2 = [(0.94) 2(0.30) 2]/0.28; s2 = 0.284; s = 0.5329.
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