(12. You run single index regression model on the monthly returns collected for company ABC. The regression model is specified as:

R subscript A B C comma t end subscript superscript asterisk times space equals alpha subscript A B C end subscript plus beta subscript A B C end subscript space R subscript M comma t end subscript superscript asterisk times space plus e subscript A B C comma space t end subscript

Where R subscript A B C comma t end subscript superscript asterisk times is the excess return of company ABC in month t R subscript M comma space t end subscript superscript asterisk times is the market excess return in month t

Regression output is presented below: REGRESSION SUMMARY OUTPUT

Regression Statistics

Multiple R

0.2557

R Square

0.0654

Adjusted R Square

0.0510

Standard Error

11.1693

Observations

67

Coefficients

Standard Error

t Stat

P-value

Lower 95%

Upper 95%

Intercept

-0.6700

1.4098

-0.4753

0.6362

-3.4856

2.1455

Market

0.8700

0.4074

2.1323

0.0368

0.0551

1.6825

What is the adjusted beta of company ABCs stock? Select one:

a. 0.9133

b. 0.3769

c. 0.3673

d. 0.6049

e. -0.1133