The expected return of stock EA is 25.75% if the expected return of the market portfolio is 22%. When the expected return of the market portfolio is 10%, the expected return of the stock EA is 10.75%. If the risk-free rate is 3%, and the market return is equally likely to be 22% or 10%, what is the alpha of stock EA? Do not round intermediate calculations.

A.

-1.0%

B.

4.9%

C.

2.6%

D.

-3.3%