Consider the two (excess return) index model regression results for A and B: R_A = 1.3% + 1.5R_M R-square = 0.670 Residual standard deviation = 13.6%

R_B = 0.7% + 1.2R_M R-square = 0.572 Residual standard deviation = 12.2% 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 r_f were constant at 6.8% 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 ________%