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5. Company J has returned 15% p.a. over the past five years, versus p.a. returns of 13% and 6.5% for the equity market and Treasury

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5. Company J has returned 15% p.a. over the past five years, versus p.a. returns of 13% and 6.5% for the equity market and Treasury Bills, respectively. You run a linear regression and determine Company J's stock exhibited a beta of 1.25 and idiosyncratic variance of .004. The Jensen's alpha of Company J's stock during this period was closest to: A. -1.26% B. -.45% C. .38% D. .79%

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