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Suppose the CAPM holds. The proportion of a stocks return variance which is idiosyncratic is 60%. What is the correlation between the excess returns on

Suppose the CAPM holds. The proportion of a stocks return variance which is idiosyncratic is 60%. What is the correlation between the excess returns on the stock and the market, to 2 decimal places?

A. 0.63

B. +/- 0.63

C. 0.77

D. +/- 0.77

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