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Consider the following table that provides information on the standard deviation of returns and the beta of two shares A and B.The beta corresponds to

Consider the following table that provides information on the standard deviation of returns and the beta of two shares A and B.The beta corresponds to the 'b' in the security market line (SML) of the capital asset pricing model (CAPM). Which share (A or B) possesses the greater non-systematic (diversifiable) risk with respect to its returns? Give proper working out and explanation.

Standard Deviation of Returns Beta (b) Share A 20% 0.6 Share B 10% 1.3

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