Question: 2. Problem 5-02 eBook Problem 5-02 Compute the abnormal rates of return for the following stocks assuming the following systematic risk measures (betas): Stock R

2. Problem 5-02

eBook

Problem 5-02

Compute the abnormal rates of return for the following stocks assuming the following systematic risk measures (betas):

Stock Rit Rmt i
B 11.7 % 5.2 % 1.00
F 9.7 8.0 1.15
T 13.4 5.8 1.50
C 12.7 16.0 0.70
E 17.0 11.9 -0.35

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

Use a minus sign to enter negative values, if any. Round your answers to one decimal place.

ARBt: %

ARFt: %

ARTt: %

ARCt: %

AREt: %

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