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Suppose that the index model for stocks A and B is estimated from excess returns with...

Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

RA = 1.8% + 0.75RM + eA

RB = -2.0% + 1.1RM + eB

σM = 23%; R-squareA = 0.18; R-squareB = 0.10

What is the covariance between each stock and the market index? (Calculate using numbers in decimal form, not percentages. Do not round your intermediate calculations. Round your answers to 3 decimal places.)

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jeff jeffy answered 1 year ago
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