(b) Investors in stocks have different appetites for risk. Data on 24 monthly returns, yt, of an airline stock are collected in parallel with monthly returns of the relevant market portfolio (representing a stock index), x. According to the capital asset pricing model (CAPM), the relationship can be expressed as: Yt = a + Bxt + et where a is the risk-free rate of return, is the systematic risk (i.e. the risk the stock shares with the market), and is the usual regression error term. The regression results are shown on the next page. Regression for Stock Return Summary ANOVA Table Explained Unexplained Regression Table Constant Market Return Multiple R 0.8417 Degrees of Freedom 1 22 Coefficient R-Square 0.7084 Sum of Squares Adjusted R-square 0.6952 Standard Error Mean of Squares 0.183656901 0.183656901 0.075584138 0.003435643 t-Value Std. Err. of Estimate 0.058614355 F 53.45634595 p-Value 0.008258978 0.021862375 0.377771326 0.7092 1.563186232 0.213801667 7.311384681