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Stock R(it) R(mt) a(i) Beta ABC 11.5 13.0 0 0.7 XYZ 9.0 7.0 0 1.1 Rit = return for stock i during period t Rmt

Stock R(it) R(mt) a(i) Beta
ABC 11.5 13.0 0 0.7
XYZ 9.0 7.0 0 1.1

Rit = return for stock i during period t Rmt = return for the aggregate market during period t Then: What is the abnormal rate of return for Stock ABC during period t using only the aggregate market return (ignore differential systematic risk)?

A. 3.2%

B. 2.4%

C. 1.3%

D. 1.5%

E. 2.0%

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