R_i = _i + _iR_M + e_i

where R_i is the excess return for security i and R_M is the markets excess return. The risk-free rate is 3%. Suppose also that there are three securities A, B, and C, characterized by the following data:

Security	i	E(Ri)		(ei)
A	0.5	13	%	26	%
B	0.9	17		12
C	1.3	21		21

a. If _M = 25%, calculate the variance of returns of securities A, B, and C.

b. Now assume that there are an infinite number of assets with return characteristics identical to those of A, B, and C, respectively. What will be the mean and variance of excess returns for securities A, B, and C? (Enter the variance answers as a percent squared and mean as a percentage. Do not round intermediate calculations. Round your answers to the nearest whole number.)

b. How does your answer change if the analyst examines 50 stocks instead of 20 stocks? 100 stocks? (Do not round intermediate calculations. Round your answers to the nearest whole dollar amount.)