Consider the two(excess return) index model regression results for A and ?: R(A)=1%+1.2Rm R-square=.576 Residual standart deviation=10.3% R(B)=-2%+.8Rm R-square=.436 Residual standart deviation=9.1% a.which stock has more firm-specific risk? b. which has greater market risk? c. for which stock does market movement explain a greater fraction of return variability? d.if r(f) were constant at 6% and the regression has been run using total rather than excess returns, what would have been the regression intercept for stock A?
Paper#12140 | Written in 18-Jul-2015Price : $25