You work for the European Central Bank (ECB) in Brussels and you have just estimated a single index model (i.e., market model) for stocks A and B with the following results:

R_A = 0.03 + 0.7R_M + e_A. R_B = 0.01 + 0.9R_M + e_B. _M = 0.35; (e_A) = 0.20; (e_B) = 0.10. Where "e" represents the error term or idiosyncratic component. The covariance between the returns on stocks A and B is

Group of answer choices

0.1920.

0.0384.

0.4000.

0.0772.

0.0406.