Exhibit 5-5
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

Exhibit 5-5
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{ccccc}\text { Stock } & \mathrm{R}_{\text {it }} & \mathrm{R}_{\text {mt }} & \mathrm{a}_{\mathrm{i}} & \text { Beta } \\\hline \mathrm{A} & 10.6 & 15 & 0 & 0.8 \\\mathrm{Z} & 9.8 & 8.0 & 0 & 1.1\end{array}$
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%
B) -1.2%
C) 1.3%
D) 2.4%
E) 6.6%

Correct Answer:

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