Suppose that the index model for stocks A and B is estimated from excess returns...
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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.4% + 1.15RM + eA RB = 1.5% + 1.3RM + eB M = 15%; R-squareA = 0.26; R-squareB = 0.16 Break down the variance of each stock to the systematic and firm-specific components. (Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.)
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