Question: Consider the two (excess return) index model regression results for A and B : R A = 1.3% + 1.5 R M R -square =

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. 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?

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