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QUESTION 13 An index model has been estimated for Stocks A and B, with the following results: RA-0.01 +0.8RM+eA RB-0.02 +1.2RM+eB OM-0.20 oCA) - 0.10

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QUESTION 13 An index model has been estimated for Stocks A and B, with the following results: RA-0.01 +0.8RM+eA RB-0.02 +1.2RM+eB OM-0.20 oCA) - 0.10 0 (EB)-0.23 Which of the following assets has the highest idiosyncratic_volatility? Stock A Stock B An equal weighted portfolio of A and B The market index (M) Cannot be determined from the information provided

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