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Consider the two (excess return) index model regression results for A and B: RA = 0.7%...

Consider the two (excess return) index model regression results for A and B:

RA = 0.7% + 1.1RM

R-square = 0.584

Residual standard deviation = 10.6%

RB = –1% + 1RM

R-square = 0.444

Residual standard deviation = 8.9%

If rf were constant at 4.2% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A?

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