USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
R_it = return for stock i during period t
R_mt = return for the aggregate market during period t
-Refer to Exhibit 5.1. What is the abnormal rate of return for Stock C during period t using only the aggregate market return (ignore differential systematic risk) ?

A) 4.0 percent
B) 1.2 percent
C) -1.05 percent
D) 2.0 percent
E) -8.5 percent