Consider the two (excess return) index model regression results for A and B:

R A  1%  1.2 R M R -square  .576 Residual standard deviation  10.3%

R B   2%  .8 R M R -square  .436 Residual standard 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 had been run using total rather than excess returns, what would have been the regression intercept for stock A?