Suppose a three-factor model is appropriate to describe the returns of a stock. Information about the three factors is presented in the following chart: Factor GDP Inflation Interest rates Expected Actual B Value Value 0.0000449 $12,975 $13,301 -1.33 3.60 % 2.90 % -0.70 4.90 % 4.40 % What is the systematic risk component of the stock return? a) 2.74% b) 4.87% c) 1.85% d) 3.37%