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Problem # 1 Monthly return data are presented below for each of the two stocks and the S&P index for a 12-month period. Calculate the following quantities: a) beta for each stock b) alpha for each stock c) the standard deviation of the residuals from each regression d) the correlation coefficient between each security and the market e) th f) the variance of the market e average return on the market Month Stock A Stock B S&P500 12.05 15.27 4.12 1.57 3.16 2.79 -8.97 1.18 1.07 12.75 7.48 0.94 2.95 7.15 24.74 0.76 18.46 0.38 1.183 0.610 4.68 25.2 2.86 5.45 4.56 3.72 10.79 5.38 2.97 1.52 10.75 3.79 1.32 6.03 6.83 21.34 0.68 12.28 5.99 2.41 4.48 4.41 4.43 6.77 2.11 3.46 6.16 2.47 1.15 3.01 4.57 10 12 Mean Standard Deviation Covariance with Market Correlation with Market Covariance A&B Correlation A&B Beta Alpha Std. Dev. of Residuals 1.021 2.964 4.98