Exhibit 65
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 37

Multiple Choice

Exhibit 6.5
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) $$\begin{array} { c c c c c } \text { Stock } & \mathbf { R } _ { \text {it } } & \mathbf { R } _ { \text {mt } } & \mathbf { a } _ { \mathbf { i } } & \text { Beta } \\\hline \mathrm { A } & 10.6 & 15 & 0 & 0.8 \\\mathrm { Z } & 9.8 & 8.0 & 0 & 1.1\end{array}$$ R_it = return for stock i during period t
R_mt = return for the aggregate market during period t
-Refer to Exhibit 6.5. What is the abnormal rate of return for Stock A when you consider its systematic risk measure (beta) ?

• A)1.40%
• B)-1.40%
• C)2.80%
• D)-2.80%
• E)None of the above

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Definitions:

Wilcoxon Rank-sum Test

A nonparametric statistical test used to compare two independent samples to determine if they come from the same population or not, based on rank sums.

Wilcoxon Rank Sum Test

A non-parametric statistical test used to compare two independent samples to assess whether their populations have identical distribution.

Sign Test

A non-parametric statistical test used to assess the difference between matched pairs of samples when the specific data measurement scale does not meet the requirements for parametric testing.

Binomial Tables

Pre-calculated tables used to find the probability of observing a certain number of successes in a fixed number of binary experiments.