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

R_A = 3% + 0.7R_M + e_A

R_B = 2% + 1.2R_M + e_B

_M = 20%; R-square_A = 0.20; R-square_B = 0.12

What is the standard deviation of each stock? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places, without the percent sign. (e.g., 12.34))

Stock A - Standard Deviation?

Stock B - Standard Deviation?

Standard Deviation Stock A % Stock B %

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