Stock H has a beta of 1.28 and an expected return of 11.7 percent. Stock J has a beta of 1.02 and an expected return of 10.4 percent. According to the CAPM, what would the risk-free rate have to be for the two stocks to be correctly priced relative to each other?

a.

2.38 percent

b.

3.69 percent

c.

5.30 percent

d.

3.23 percent

e.

2.76 percent