Consider the single-index model.The alpha of a stock is 0%.The return on the market indexis 16%.The risk-free rate of return is 5%.The stock earns a return that exceeds therisk-free rate by 11% and there are no firm-specific events affecting the stockperformance.Theβof the stock is _______.A) 0.67B) 0.75C) 1.0D) 1.33E) 1.50