Question: QUESTION 2 The index model for stock ABC has been estimated by regression with the following result: RABC = 0.01 + 1.1 RM + EABC;

QUESTION 2 The index model for stock ABC has been estimated

QUESTION 2 The index model for stock ABC has been estimated by regression with the following result: RABC = 0.01 + 1.1 RM + EABC; with R2 = 0.50 If om = 0.20, what is the standard deviation of the return on stock ABC? [Hint: R2 BBC 02 BABCO + 07 0m + -; and oAbc = Bec om + Of Reci E ABC

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