The standard deviations of U.S. and Mexican returns over the period 1989-1993 were 12.7% and 29.7%, respectively.

Question:

The standard deviations of U.S. and Mexican returns over the period 1989-1993 were 12.7% and 29.7%, respectively. In addition, the correlation between the U.S. and Mexican markets over this period was 0.34. Assuming that these data reflect the future as well, what is the Mexican market beta relative to the U.S. market?

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