Problem $9-11$ Measuring risk

The following table shows estimates of the risk of two well$-$known Canadian stocks:

a$.$ What proportion of each stock's risk was market risk, and what proportion was specific risk?

b$.$ What is the variance of the returns for Sun Life Financial stock? What is the specific variance?

c$.$ What is the confidence interval on Suncor's beta?

d$.$ If the CAPM is correct, what is the expected return on Sun Life? Assume a risk$-$free interest rate of $4\%$ and an expected market

return of $10\%.$

e$.$ Suppose that next year, the market provides a $18\%$ return. Knowing this, what return would you expect from Sun Life?

Complete this question by entering your answers in the tabs below.

Required A

What proportion of each stock's risk was market risk, and what proportion was specific risk?

Note: Do not round intermediate calculations. Enter your answers as a percent rounded to the nearest whole number.