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The single-index model for stock A is estimated with the following result: R A = 0.01 + 0.8 R M + e A . If
The single-index model for stock A is estimated with the following result:
RA = 0.01 + 0.8RM + eA.
If M = 0.25 and R2A (R-squared) = 0.30, what is the standard deviation of return of stock A? (Use two decimal places, in percentage without the percentage sign.)
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