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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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