BELTA INC. HAS AN EXPECTED RETURN OF 9%. THE RISK-FREE RATE IS 3%....

5. Belta Inc. has an expected return of 9%. The risk-free rate is 3%. The only factor

representing systematic risk is Factor X with an expected return of 5%. The company’s

sensitivity to Factor X is closest to:

A. 0.0

B. 1.2

C. 1.0