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 A when you consider its systematic risk measure (beta) ?

A) 1.40 percent
B) -1.40 percent
C) 2.80 percent
D) -2.80 percent
E) 0 percent