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Suppose that the index model for stocks A is estimated from excess returns with the...

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Suppose that the index model for stocks A is estimated from excess returns with the following results: Ra = 3% + 0.7Rm tea Where R is the return of stock A, Rm is the return of the market, and ea is the firm specific component. Standard deviation of the market - sigma(M)= 0.2 R-squared - R2 - 0.2. This is the amount of systematic variation that can be explained among the total variation of stock returns What is the standard deviation of stock A? O 0.0121 O 0.0313 O 0.0455 O 0.2

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