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 5.2. What is the abnormal rate of return for Stock ABC when you consider its systematic risk measure (beta) ?

A) 2.4 percent
B) 1.5 percent
C) -1.5 percent
D) 2.0 percent
E) -3.2 percent