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The standard deviation of stock A's return is 35%. The variance of the market's return is 0.0625. The correlation coefficient between the returns of stock

The standard deviation of stock A's return is 35%. The variance of the market's return is 0.0625. The correlation coefficient between the returns of stock A and the market is 0.55. Stock A's beta is closest to:

A) 0.35

B) 0.39

C) 0.55

D) 0.77

E) 3.08

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