Exhibit 66
Use the Information Below for the Following Problem(S)

Exhibit 6.6
Use the Information Below for the Following Problem(S)
$$\begin{array} { c c c c c } \text { itack } & \text { Re } & \text { it } & \text { mit } & \text { Het. } \\\hline \text { A } & 9.7 & 10.0 & 0 & 0.7 \\8 & 10.4 & 8.0 & 0 & 1.4\end{array}$$
R?_t = return for stock i during period t
R_mt = return for the aggregate market during period t
-Refer to Exhibit 6.6.What is the abnormal rate of return for Stock B when you consider its systematic risk measure (beta) ?

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

Correct Answer:

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