TEST FORM 11. You invest $1,500 in security A with a beta of 1.1 and $1,300 in security B with a beta of.9. The beta of this portfolio is A. 0.99 B. 1.50 C. 1.01 D. 2.00 12. Fama and French claim that after controlling for firm size and the ratio of firm's book value to market value, beta is I. highly significant in predicting future stock returns Il. relatively useless in predicting future stock returns IlI. a good predictor of firm's specific risk A. I, Il and 11I B. I only C. I and Ill only D. II only 13. A stock has a correlation with the market of 0.45. The standard deviation of the market is 21% and the standard deviation of the stock is 35%. What is the stock's beta? A. 0.55 B. 1.00 C. 0.75 D. 0.60