Suppose a factor model is appropriate to describe the returns on a stock and the two factors involved in this model are Growth in GNP and Inflation. For Growth in GNP factor, the Beta is 1.45, Expected Value is 3.2 percent and Actual value is 3.8 percent, and for Inflation factor, the Beta is -1.25, Expected Value is 4.2 percent and Actual value is 4.8 percent. What is the systematic risk of the return? Select one: a. 2.5 percent b. 0.12 percent c. 0.25 percent d. 0.35 percent e. 0.18 percent

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