Problem 8-8 NEED only( D) part answer

Consider the two (excess return) index model regression results for A and B: R_A = 1.9% + 1.9R_M R-square = 0.634 Residual standard deviation = 12.4% R_B = 1.3% + 1.1R_M R-square = 0.588 Residual standard deviation = 11.2% 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 r_f were constant at 5.8% 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.)

2.90% < this answer is wrong