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

A) 1.80
B) 1.40
C) -1.80
D) -4.80
E) -8.80