Consider the two (excess return) index model regression results for A and B:

RA = 1% + 1.2 RM

R -square _ .576

Residual standard deviation = 10.3%

RB = - 2% + .8 RM

R -square = .436

Residual standard deviation = 9.1%

a. Which stock has more firm-specific risk?

b. Which has greater market risk?

c. For which stock does market movement explain a greater fraction of return variability?

d. If r f were constant at 6% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A?