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 when you consider its systematic risk measure (beta) ?

A) 0.1 percent
B) -1.4 percent
C) 0.5 percent
D) 1.5 percent
E) 2.0 percent