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 5.6. What is the abnormal rate of return for Stock A when you consider its systematic risk measure (beta) ?

A) -2.3 percent
B) -0.3 percent
C) 0.3 percent
D) 2.3 percent
E) 3.0 percent