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Consider the two (excess return) index model regression results for A and B : R A = 1.3% + 1.5 R M R -square =
Consider the two (excess return) index model regression results for A and B:
RA = 1.3% + 1.5RM
R-square = 0.670
Residual standard deviation = 13.6%
RB = 0.7% + 1.2RM
R-square = 0.572
Residual standard deviation = 12.2%
A. If rf were constant at 6.8% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A?
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