Question: We know the following expected returns for stock A and the market portfolio, given different states of the economy: State (s) Probability E(r A,s )

We know the following expected returns for stock A and the market portfolio, given different states of the economy:

State (s) Probability E(rA,s) E(rM,s)
Recession 0.2 -0.02 0.02
Normal 0.5 0.13 0.05
Expansion 0.3 0.21 0.09

The risk-free rate is 0.02.

Assuming the CAPM holds, what is the beta for stock A?

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