Suppose that you find the following covariance estimates for the market and two stocks based on your research. Assume that risk-free rate is 1% and market expected rate of return is 8%. If CAPM is valid, what are the expected rates of return of stock A and stock B? What percent of the total risk is systematic in stock A?

Covariance matrix:

	Stock A	Stock B	Market
Stock A	0.0625
Stock B	0.0274	0.0234
Market	0.0384	0.0205	0.0256