Suppose that index model for Stocks A and B is estimated from excess returns with the following results: Ra= 0.04+0.6Rm+ea, Rb= -0.04+1.3Rm+eb, Risk on the market is 30%, R-squared of A is 30%, R-squared of B is 40%, standard deviation of stock B is __________

Select one:

a. 73.4%

b. 67.5%

c. 61.6%

d. 78.7%