The stock of Big Jack Co. has a beta of 1.5 and a standard deviation of 35%. The stock of Little John Co. has a beta of 0.75 and a standard deviation of 50%. If the expected return on the stock market is 9% and the T-Bill rate is 3%, which stock has a higher expected return?

By definition each stock has the same expected return; it is observed returns that differ.

Big Jack

You cant tell without knowing the correlation of the stocks.

Little John

You cant tell without knowing the diversifiable risk of each stock.