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Two (excess return) index model regression results for A and B are as follows: RA = 1% +1.2RM RB = -2% +0.8RM R-square (A) =
Two (excess return) index model regression results for A and B are as follows: RA = 1% +1.2RM RB = -2% +0.8RM R-square (A) = 0.576 R-square (B) = 0.436 Residual standard deviation (A) = 10.3%|| Residual standard deviation (A) = 10.3% OM = 20% (a) Compute standard deviation of A and B (b) Compute the covariance and correlation between returns of A and B
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