9. Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 6%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns.

Stock A Stock B Index model regression estimates 1% + 1.2(FM - rd) 2% + 0.8(FM - It) R-square 0.576 0.436 Residual standard deviation, o(e) 10.3% 19. 1% Standard deviation of excess returns 21.6% 24.9%