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

R_A = 1.5% + 1.3R_M

R-square = 0.658

Residual standard deviation = 13.2%

R_B = 0.8% + 0.95R_M

R-square = 0.596

Residual standard deviation = 11.8%

a. Which stock has more firm-specific risk?

• Stock A

• Stock B

b. Which stock has greater market risk?

• Stock A

• Stock B

c. For which stock does market movement has a greater fraction of return variability?

• Stock A

• Stock B

d. If r_f were constant at 6.5% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.)