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 5.3. What is the abnormal rate of return for Hemlick during period t using only the aggregate market return (ignore differential systematic risk) ?

A) 0.11
B) 1.10
C) -1.80
D) -1.80.
E) -4.60