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

A) 0.40
B) 1.40
C) -1.10
D) -4.40
E) -6.40