Consider the single-index model. The alpha of a stock is 4%. The return on the market index is 10%. The risk- free rate of return is 3%. During a sample period, the stock earns a return that exceeds the risk-free rate by 12%, and there is no firm-specific residual affecting the stocks return (ie e = 0). The of the stock is Select one: O a. 0.875 O b. 1.143 O c. 1.538 O d. 0.692 O e. 1.275