Reddy et al (2013) suggest that the Australian commercial property sector has an average historical return of 9.5% with a historical standard deviation of 8.24% and historical correlation with the market of 0.58. The market price of risk is 6% and the average risk-free rate has been 4%. What is the best estimate of the CAPM Beta of commercial property in Australia?
A. β = 0.33.
B. β = 0.92.
C. β = 1.0.
D. β = 0.58.