12. The start-up phone company, Calling O'Brien Inc. (COBI), has a WACC of 13.2%. The balance sheet for COBI is comprised of 40% bonds and 60% common stock. The bonds pay coupons semiannually and have a vield to maturity of 4.0%. COBI's tax rate is 25%. The common stock does not pay a dividend and has a standard deviation of 19.4%. What is the coefficient of correlation between the returns on COBI's stock and the returns on the market portfolio? Table 1: Market Variables Asset 3-month T-bill 5-year AAA Corporate Bond 15-year mortgage rate Market portfolio Variance of the market portfolio Return 3.5% 6.1% 7.2% 16.0% 0.0054