Consider the following monthly returns for a stock, the mark…
Consider the following monthly returns for a stock, the market portfolio, and the risk-free investment over the last 12 months: Monthly Returns of a Stock, the Market Portfolio, and the Risk-Free Investment Month Stock Market Risk-Free 1 % % % 2 % % % 3 % % % 4 % % % 5 % % % 6 % % % 7 % % % 8 % % % 9 % % % 10 % % % 11 % % % 12 % % % Assuming the single-factor model is true, what was the annualized firm-specific risk over the last twelve months for the stock? Enter your annualized firm-specific risk as a percentage, rounded to the nearest 0.01% (e.g., for 0.12345, enter 12.35).