11 A fund manager estimated a market model (i.e., equation (3) in lecture 6) on stock ABC and stock XYZ, respectively, and obtained the results reported in the table below. The variance of returns on the market portfolio i.e., var(Rm), is 0.04, and the variance of returns on stock ABC is 0.25 (see table below). Of the 0.25 estimate, calculate the proportion that is attributed to market risk. Write your answer in percentage, and in O decimal place e.g., 90%. (1.5 Points) ABC XYZ Average actual stock return 0.15 0.10 Variance of stock returns i.e., var(R) 0.25 0.16 Stock beta i.e., 1.2 1.4 Enter your answer Refer to the information given in the table in question 11. Between stock ABC and stock XYZ, which stock should have a higher expected return in accord with CAPM? Clearly explain your answer in no more than 2 sentences. No calculation is required to answer this question. (1.5 Points)