Question: Consider the two (excess return) index model regression results for A and B: RA = 0.8% + 1RM R-square = 0.588 Residual standard deviation =

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

Consider the two (excess return) index model regression results for A and B: RA = 0.8% + 1RM R-square = 0.588 Residual standard deviation = 10.8% RB - -1.2% + 0.7RM R-square = 0.452 Residual standard deviation = 9% a. Which stock has more firm-specific risk? Stock A O Stock B b. Which stock has greater market risk? Stock A O Stock B c. For which stock does market movement has a greater fraction of return variability? Stock A O Stock B d. If re were constant at 4.5% 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 %

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