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 when you consider its systematic risk measure (beta) ?

A) 0.1 percent
B) 1.0 percent
C) 0.5 percent
D) -1.0 percent
E) -2.0 percent