Business, 07.03.2020 05:41 CaleWort92

Consider the two (excess return) index model regression results for A and B:

RA = –1.2% + 1.6RM

R-square = 0.676

Residual standard deviation = 13.8%

RB = 0.5% + 1.3RM

R-square = 0.574

Residual standard deviation = 12.4% 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 7% 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 place. Omit the "%" sign in your response.) Intercept %

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Consider the two (excess return) index model regression results for A and B:

RA = –1.2%...

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