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Business, 30.07.2020 06:01 tkdurocher

Consider the two (excess return) index model regression results for A and B: RA = 1% + 1.2RM R-square = 0.576 Residual standard deviation = 10.3% RB = −2% + 0.8RM R-square = 0.436 Residual standard deviation = 9.1% 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 6% 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 1 decimal place.)

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Consider the two (excess return) index model regression results for A and B: RA = 1% + 1.2RM R-squar...

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