The following table shows betas and standard deviations for four stocks.
Company Beta Standard deviation
IBM 1.1 20%
Ford 1.15 30%
Dairy Queen 0.95 40%
Walmart 0.75 35%
Which stock has the highest systematic risk?
Assume that the risk free rate is 4% and the market risk premium is 12%. You discover that stock ABC has a beta of 0. According to the capital asset pricing model (CAPM), what should be ABC's expected rate of return?