Below you can two sets of single-index model regression output. We collect data of the monthly...

 

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Below you can two sets of single-index model regression output. We collect data of the monthly return of S&P500, A, and B for the past 59 months. For each regression, we run either the monthly stock A or stock B's excess return on S&P500's excess returns. (1) (6 points) Which stock has higher systematic risk? Why? (2) (5 points) Suppose the expected market return for next month is 1.8% and the risk-free rate of return is 3.6%. Apply the single-index model, what is the expected excess return of stock B for next month? Please express your final answer as % and keep two decimal places (for example, 9.17%). Below you can two sets of single-index model regression output. We collect data of the monthly return of S&P500, A, and B for the past 59 months. For each regression, we run either the monthly stock A or stock B's excess return on S&P500's excess returns. (1) (6 points) Which stock has higher systematic risk? Why? (2) (5 points) Suppose the expected market return for next month is 1.8% and the risk-free rate of return is 3.6%. Apply the single-index model, what is the expected excess return of stock B for next month? Please express your final answer as % and keep two decimal places (for example, 9.17%).