Suppose the index model for stocks X and Y is estimated from excess returns with the following results: Rx = 0.025 + 0.75Rm +ex R-square(x) = 0.16 Ry = -0.02 + 1.3Rm +ey R-square(y) = 0.12 The market index has a standard deviation of 0.22.

What is the standard deviation of stock X? Answer for part 1 What is the standard deviation of stock Y? Answer for part 2 How much is the firm-specific component of the variance of stock X? Answer for part 3 How much is the firm-specific component of the variance of stock Y? Answer for part 4 What is the covariance between the two stocks? Answer for part 5 What is the correlation coefficient between the two stocks? Answer for part 6 What is the covariance between stock X and the market index? Answer for part 7 What is the covariance between stock Y and the market index? Answer for part 8