i'm studying for a finance exam and i can't answer this question. It is asking me to calculate the unsystematic risk of firm A and i have the following information:
Return firm A: 0,1% + 1,2Returnstockexchange
R² = 0,15
SD of regression = 0,38
Risk free rate = 5%
Market rate = 8%
I know that the SD is the total risk of the firm A, but how can i find the unsystematic risk from this?
Some post in the internet says that the Unsystematic risk is (1-R²) but i coudn't find anything solid about this subject, does someone here can answer this?