Determine the abnormal rate of return

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Reference no: EM1354601

Stock Rit Rmt ai Beta
A 10.6 15 0 0.8
Z 9.8 8.0 0 1.1

Rit = return for stock i during period t
Rmt = return for the aggregate market during period t

a. What is the abnormal rate of return for Stock A during period t using only the aggregate market return (ignore differential systematic risk)?

B.What is the abnormal rate of return for Stock Z during period t using only the aggregate market return (ignore differential systematic risk)?

c. What is the abnormal rate of return for Stock A when you consider its systematic risk measure (beta)?

d. What is the abnormal rate of return for Stock Z when you consider its systematic risk measure (beta)?

Reference no: EM1354601

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