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Stock A has a Beta of .8. The standard deviation of the returns of the market is 22%. The standard deviation of the returns of

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Stock A has a Beta of .8. The standard deviation of the returns of the market is 22%. The standard deviation of the returns of Stock A is 24%. What percentage of Stock A's variance is idiosyncratic risk? 8.3% 16.0% 26.7% 0 0 46.2% None of the Above

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