Question: Consider the two (excess return) index model regression results for A and B : R A = 1.1% + 1.4 R M R -square =

Consider the two (excess return) index model regression results for A and B:
RA = 1.1% + 1.4RM
R-square = 0.604
Residual standard deviation = 11.4%
RB = 1.6% + 0.8RM
R-square = 0.488
Residual standard deviation = 9.4%

a. Which stock has more firm-specific risk?
Stock A
Stock B

b. Which stock has greater market risk?
Stock A
Stock B

c. For which stock does market movement has a greater fraction of return variability?
Stock A
Stock B

d.

If rf were constant at 4.8% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal place. Omit the "%" sign in your response.)

Intercept %

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