Consider two portfolios: A and B. You regress the return of each portfolio against the market index, and you find the following estimates (in percentage): R=4+0.2 R_+e R=1+0.8 R_+ where R and R, are the return on Portfolios A and B, respectively. R is the return on the market index, and e, and e, are the residuals in the regression model for Portfolios A and B, respectively. You estimate the risk-free rate as 5%, and the expected return and variance of the market index are 12% and 25.2%, respectively. (a) If e, and e, are uncorrelated, and they are also uncorrelated with R, what are the covariances Cov(R, R), Cov(R, R), and Cov(R, R_)? (b) Are the regression results consistent with the CAPM?