A Stock Has a Return of 16

Multiple Choice

A stock has a return of 16.9 percent, a standard deviation of 11.7 percent, and a beta of 1.57. The risk-free rate is 2.65 percent and the market risk premium is 8.45 percent. What is the Jensen-Treynor alpha of this stock?

A) -1.37 percent
B) -1.09 percent
C) -0.48 percent
D) 0.29 percent
E) 0.63 percent