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

R_A = 1.1% + 1.7R_M

R-square = 0.682

Residual standard deviation = 14%

R_B = 0.4% + 1.4R_M

R-square = 0.576

Residual standard deviation = 12.5%

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 8% 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.)