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Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns.

Stock A Stock B
Index model regression estimates 1% + 1.2(rMrf) 2% + 0.8(rMrf)
R-square 0.665 0.481
Residual standard deviation, σ(e) 11.8% 20.6%
Standard deviation of excess returns 23.1% 27.9%

a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.)

Treynor measure:

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