Consider the two $($excess return$)$ index$-$model regression results for stocks A and B$.$ The risk$-$free rate over the period was $7\%,$ 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 $1\%+1\mathrm{.}2($rM $$ rf$)2\%+0\mathrm{.}8($rM $$ rf$)$

R$-$square $0\mathrm{.}6350\mathrm{.}466$

Residual standard deviation, $\backslash$sigma $($e$)11\mathrm{.}3\%20\mathrm{.}1\%$

Standard deviation of excess returns $22\mathrm{.}6\%26\mathrm{.}9\%$