Problem 8-8 Consider the two (excess return) index model regression results for A and B. RA...
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Problem 8-8 Consider the two (excess return) index model regression results for A and B. RA = 1.3% + 1.6RM R-square = 0.614 Residual standard deviation = 11.6% RB = -2% + 1.1RM R-square = 0.464 Residual standard deviation = 9.6% a. Which stock has more firm-specific risk? Stock A Stock B b. Which stock has greater market risk? Stock A Stock B c. For which stock does market movement has a greater fraction of return variability? Stock A Stock B d. If rf were constant at 5.2% 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.) Intercept (0.60) % Problem 8-8 Consider the two (excess return) index model regression results for A and B. RA = 1.3% + 1.6RM R-square = 0.614 Residual standard deviation = 11.6% RB = -2% + 1.1RM R-square = 0.464 Residual standard deviation = 9.6% a. Which stock has more firm-specific risk? Stock A Stock B b. Which stock has greater market risk? Stock A Stock B c. For which stock does market movement has a greater fraction of return variability? Stock A Stock B d. If rf were constant at 5.2% 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.) Intercept (0.60) %
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