Suppose that the index model for stocks A and B is estimated from excess returns with the following results: 2. Rsq(A)-0.20 Rsq(B) 0.12; a) What is the standard deviation of each stock? b) Break down the variance of each stock into the systematic and firm- specific components. c) What are the covariance and correlation coefficient between the two stocks? d) Are the intercepts of the two regressions consistent with the CAPM? Interpret their values. Note: in this classwork, the notation for returns and excess returns is the same as in your textbook: ri-return of stock 1, Ri-ri-rf= excess return of stock 1. Suppose that the index model for stocks A and B is estimated from excess returns with the following results: 2. Rsq(A)-0.20 Rsq(B) 0.12; a) What is the standard deviation of each stock? b) Break down the variance of each stock into the systematic and firm- specific components. c) What are the covariance and correlation coefficient between the two stocks? d) Are the intercepts of the two regressions consistent with the CAPM? Interpret their values. Note: in this classwork, the notation for returns and excess returns is the same as in your textbook: ri-return of stock 1, Ri-ri-rf= excess return of stock 1