Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R. = 3%+ 7Rytes Rz =-2% +1.2R, tez On = 20%; RSquared = 20; RSquared 3 = 12 a. What is the standard deviation of each stock? b. Break down the variance of each stock to the systematic and firm-specific components. Stock Stock A Stock B Systematic Variance Firm-specific Variance Total Variance Systematic Risk % (R) c. What are the covariance and correlation between the two stocks d. What is the covariance between each stock and the market index? Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R. = 3%+ 7Rytes Rz =-2% +1.2R, tez On = 20%; RSquared = 20; RSquared 3 = 12 a. What is the standard deviation of each stock? b. Break down the variance of each stock to the systematic and firm-specific components. Stock Stock A Stock B Systematic Variance Firm-specific Variance Total Variance Systematic Risk % (R) c. What are the covariance and correlation between the two stocks d. What is the covariance between each stock and the market index