4: Suppose that the index model for stocks A and B is estimated from

excess returns with the following results:

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: M-2096, RSquared,-.20; RSquared,-.12 a. What is the standard deviation of each stock?| b. Break down the variance of each stock to the systematic and firm-specific components. Stock Systematic Variance Firm-specific Variance Total Variance Systematic Risk % (R2) Stock A Stock B c. What are the covariance and correlation between the two stocks? d. What is the covariance between each stock and the market index? Suppose that the index model for stocks A and B is estimated from excess returns with the following results: M-2096, RSquared,-.20; RSquared,-.12 a. What is the standard deviation of each stock?| b. Break down the variance of each stock to the systematic and firm-specific components. Stock Systematic Variance Firm-specific Variance Total Variance Systematic Risk % (R2) Stock A Stock B c. What are the covariance and correlation between the two stocks? d. What is the covariance between each stock and the market index