Find the standard deviation of stock

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Reference no: EM132681684

Suppose that the index model for the excess returns of stock

A and B is estimated with the following results:

RA = 0.8% + 0.8 RM + eA

RB = -1.8% + 1.2 RM + eB

σM = 20%

σ(eA)= 25%

σ(eB)= 13%

Find the standard deviation of each stock and the covariance between them.

Reference no: EM132681684

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