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03. Consider the two (excess return) index model regression results forA and B: R. = 1.?% + 1.612.. Rsquare = 0.646 Residual standard deviation = 12.8% ; RB = 1 . 5% + 1 . BRM ,. R-square = 0.592 Residual standard deviation = 11.6% a. Which stock has more rm-specic risk? b. Which stock has greater market risk? c. For which stock does market movement has a greater fraction of return variability? d. If I, were constant at 6.2% 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.) 04. Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R3 = 1.8% + 0.7512,, + en R5 = -2.0% + 1'1'Rll + 33 a" = 23%; Rsquaren = 0.18; .Ri:'.1'|.1.'=treB = 0.10 What is the standard deviation of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) 05. Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R. = 1.0% + 0.451?\" + 9,. RB = 1.0% + 1.0011,. + eB 0.; = 16%; RsquareA = 0.28; fitsquarea = 0.21 Break down the variance of each stock to the systematic and rm-specic components. (Do not round intermediate calculations.Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.)