Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

RA = 0.03 + 0.7 RM + eA

RB = -0.02+ 1.2 RM + eB

M =0.20;

R-square A = 0.3

R-square B = 0.2

What is the systematic risk of A & B, respectively?

Group of answer choices

0.4800, 0.0980

0.0980, 0.4800

0.0576,0.0196

0.0196, 0.0576