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Consider the two (excess return) index-model regression results for stocks A and B. The risk-free...

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Finance

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 6%, and the markets average return was 15%. Performance is measured using an index model regression on excess returns.

Stock A Stock B
Index model regression estimates 1% + 1.2(rM rf) 2% + 0.8(rM rf)
R-square 0.594 0.445
Residual standard deviation, (e) 10.6% 19.4%
Standard deviation of excess returns 21.9% 25.5%

By how much does Alpha of Stock A exceed Alpha of Stock B? (Negative values should be indicated with a minus sign. Enter your answer in percentage points. Round your answers to 4 decimal places.)

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