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 E when you consider its systematic risk measure (beta) ?

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