Can you show me how to do it? Thanks.

Consider stock i whose return in period t can be described as: Where Rit is stock i's return in period t, RM.t is the market return in period t, and ejt is stock i's firm-specific return in period t, which is not correlated with anything. RMit has a standard deviation of 15%, while ei,t has a standard deviation of 20%. What is the expected R2 of a regression of stock i's return on market return? 0.4050 0.4475 0.5244 0.4873