1. Given the market model Rit = i iRMt it where Rit = log Pit Pit1 , Pit represents the price of the ith stock at time t, for t = 1, . . . , T , RMt represent the logarithm of time t returns to the market and it represent the errors also at time t. Suppose i = i = 0 in the market model for i = 1, . . . , N. What does the cumulative abnormal returns represent over the time period considered here? (a) Cumulative abnormal returns represent the sum of the squared error terms over the time period; (b) Cumulative abnormal returns represent the logarithm of the price increase over the time period; (c) Cumulative abnormal returns are normally distributed; (d) All of (a) to (c) are correct; (e) None of (a) to(c) are correct