You are investigating excess returns of stocks A and B using a single-index model. You have estimated the following model and parameters:

rA=0.04+1.5rM+eA

rB=0.07+0.6rM+eB

M=0.20

RA=0.64

(eB)=0.0432

a) What is the R of B?

b) What is the firm-specific risk of A (standard deviation of eA)?

c) What is the correlation coefficient between the returns of A and B?

d) What is the correlation coefficient between B and the market index?