Consider the two (excess return) index model regression results for A and B: ...
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Finance
| Consider the two (excess return) index model regression results for A and B: |
| RA = 1.9% + 1.9RM |
| R-square = 0.634 |
| Residual standard deviation = 12.4% |
| RB = 1.3% + 1.1RM |
| R-square = 0.588 |
| Residual standard deviation = 11.2% |
| a. | Which stock has more firm-specific risk? | ||||
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| b. | Which stock has greater market risk? | ||||
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| c. | For which stock does market movement has a greater fraction of return variability? | ||||
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| d. | If rf 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 place. Omit the "%" sign in your response.) |
| Intercept | % |
rev: 04_17_2014_QC_47932, 10_29_2014_QC_54922
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