Question: Consider the two (excess return) index model regression results for A and B : R A = 0.7% + 1.1 R M R -square =

Consider the two (excess return) index model regression results for A and B:

R_A = 0.7% + 1.1R_M

R-square = 0.584

Residual standard deviation = 10.6%

R_B = 1% + 1R_M

R-square = 0.444

Residual standard deviation = 8.9%

If r_f were constant at 4.2% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A?

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