Standard deviation of excess market returns

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You are analyzing an investment opportunity in Tesla (TSLA). You find that TSLA currently has a market beta of 2.01, and also find that TSLA has (i) a total return variance of 0.041, and (ii) and idiosyncratic return variance of 0.027. On the basis of this information, what is the standard deviation of excess market returns?

Note: Please express your answer as a decimal and not a percentage. For instance, a volatility 5% should be expressed as 0.05, a volatility of 50% should be expressed as 0.5, and a volatility of 500% should be expressed as 5. Please provide an answer that is accurate to at least four decimal places.

Reference no: EM133120425

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