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Index model for the excess return of stock XYZ is estimated with the following output: R(xyz) = 0.80% + 1.10 R(m) + e (xyz) Market
Index model for the excess return of stock XYZ is estimated with the following output: R(xyz) = 0.80% + 1.10 R(m) + e (xyz) Market standard deviation (sigma M) = 22%; residual standard deviation = 30% What proportion of variation in XYZ excess return is explained by variation in the market excess return? (You must show all necessary workings)
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