Covariance and correlation coefficient between two stocks

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

RA = 2% + 0.70RM + eA

RB = –1.8% + 0.90RM + eB σM = 22%;

R-squareA = 0.20; R-squareB = 0.15

What are the covariance and correlation coefficient between the two stocks? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answers to 4 decimal places.)

Covariance __________?

Correlation coefficient __________?

Reference no: EM131448457

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