Review the excerpted table of historic returns shown below. The returns have all been annualized after having calculated monthly returns for the previous five years. In addition, information is provided about the average, the volatility, and the sensitivity of the possible investments

Firm Z has a Debt/Equity Ratio of 0.25 and a Tax Rate of 20%.

What is the beta of a project (rounded to two places) if said project is half as risky as typical Firm Z projects?

• 0.50

• 0.63

• 0.52

• 0.78

• None of the above

Time Period # Market Return Firm Y Firm Z T-Bill Firm W 0.191 1 0.333 Firm X 0.218 -0.632 0.955 0.601 0.035 2. -0.144 -0.423 -0.747 0.039 -0.472 0.378 3 0.143 0.348 0.470 0.379 0.040 4 0.316 0.871 0.868 0.502 0.036 -0.192 0.694 5 0.178 0.912 0.499 0.364 0.036 09 6 -0.014 0.532 0.168 -0.671 -0.064 0.038 59 0.374 0.556 1.014 0.023 0.698 0.037 60 0.173 0.547 0.092 0.658 0.222 0.036 Average Return 0.082 0.113 0.067 0.167 0.121 0.029 Standard Deviation 0.156 0.369 0.497 0.398 0.456 0.011 Beta 1.00 1.21 0.89 1.41 1.25 0.00