1. Compute the abnormal rates of return for the following stocks during period t (ignore differential systematic risk):

Stock Rit Rmt

B 11.5% 4.0%

F 10.0 8.5

T 14.0 9.6

C 12.0 15.3

E 15.9 12.4

Rit= return for stock i during period t

Rmt for the aggregate market during period t

2. Compute the abnormal rates of return for the five stocks in Problem 1 assuming the following systematic risk measure (betas):

Stock Bi

B 0.95

F 1.25

T 1.45

C 0.70

E -0.30