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 __________?