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Assume the Capital Asset Pricing Model (CAPM) holds. The expected annual return of stock A is...

  1. Assume the Capital Asset Pricing Model (CAPM) holds. The expected annual return of stock A is 6%. The annual risk-free rate was 5% and the expected annual return of the market was 7%. If the standard deviation of annual return of stock A was 15% and the standard deviation of annual return of the market was 10%, what is the correlation between annual returns of stock A and the market?

    A. 0.5
    B. 0.33 C. 0.66 D. −0.66 E. 1

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