Consider the two (excess return) index model regression results for A and B: R_A = 1.1% + 1.7R_M R-square = 0.682 Residual standard deviation = 14% R_B = 0.4% + 1.4R_M R-square = 0.576 Residual standard deviation = 12.5% a. Which stock has more firm-specific risk?

multiple choice 1

• Stock A

• Stock B

b. Which stock has greater market risk? multiple choice 2

• Stock A

• Stock B

c. For which stock does market movement has a greater fraction of return variability? multiple choice 3

• Stock A

• Stock B

d. If r_f were constant at 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 places.)

Intercept:________________%