Systematic risk = 0.12%

Suppose a factor model is appropriate to describe the returns on a stock and the two factors involved in this model are Growth in GNP and Inflation. For Growth in GNP factor, the Beta is 1.45, Expected Value is 3.2 percent and Actual value is 3.8 percent, and for Inflation factor, the Beta is -1.25. Expected Value is 4.2 percent and Actual value is 4.8 percent. Suppose the unexpected bad news i.e. unsystematic risk about the firm was announced that causes the stock price to drop by 1.6 percent. If the expected return on the stock is 11.48 percent, what is the total return on this stock? Select one: a. 10.0 percent b.9.6 percent C. 13.2 percent d. None of these e. 10.5 percent