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

A) -0.8 percent
B) -1.2 percent
C) 1.3 percent
D) 2.4 percent
E) 6.6 percent