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Mathematics, 03.12.2019 20:31 adriandehoyos1p3hpwc

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 market’s average return was 14%. 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 0.576 0.436 residual standard deviation, σ(e) 10.3% 19.1% standard deviation of excess returns 21.6% 24.9% a. calculate the following statistics for each stock: (round your answers to 4 decimal places.)

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Consider the two (excess return) index-model regression results for stocks a and b. the risk-free ra...
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