the index model for stock b has been estimated with the following result rb 001 11rm eb if sigma

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The index model for stock B has been estimated with the following result: RB = 0.01 + 1.1RM + eB. If sigma M = 0.20 and RB^2 = 0.50, the standard deviation of the return on stock B is A) 0.4111. B) 0.3111. C) 0.1111. D) 0.2111.