VALUING PRIVATE COMPANY. TO ESTIMATE REQUIRED RETURN OF STOCK HOLDERS, YOU NEED AN ASSET BETA FOR THE PAPER BUSINESS. YOU DETERMINE THAT THE CLOSEST BUSINESS HAS AN EQUITY BETA OF .28 AND A DEBT TO EQUITY RATIO OF .45. WHAT IS THE ASSET BETA FOR THE CLOSEST BUSINESS? ASSUME THAT DEBT BETAS ARE ZERO AND THAT BOTH COMPANIES PURSUE CAPITAL STRUCTURE POLICIIES WITH A FIXED DEBT TO VALUE RATIO?

A) .0087 B) .690 C) .193 D) .126