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The correlation between the excess returns on a stock and the excess returns on the market is -0.8. According to the CAPM, what proportion of

The correlation between the excess returns on a stock and the excess returns on the market is -0.8. According to the CAPM, what proportion of the stocks variance is idiosyncratic?

A. -64%

B. 36%

C. 64%

D. Something else

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