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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.0% + 1.05RM +

Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

RA = 3.0% + 1.05RM + eA

RB = -1.2% + 1.2RM + eB M = 29%;

RsquareA = 0.29; RsquareB = 0.14

What is the standard deviation of each stock?

Stock A:

Stock B:

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