Camber Seal Is a Financial Planner Hired to Review KMB $\beta$

Multiple Choice

Camber Seal is a financial planner hired to review KMB stock. She is considering the CAPM where the KMB risk-adjusted stock return R - R_f is used as the response variable and the risk-adjusted market return R_m - R f is used as the predictor variable. KMB stock is considered staple products, whether the economy is good or bad. Given estimates for the beta coefficient is 0.7503, standard error of 0.1391, and a p-value of 0.039 with a formulated hypothesis of H ₀ : $\beta$ $\ge$ 1 H A : $\beta$ < 1. At a 5% significance level, what is the risk determination of the stock against the market?

A) $\beta$ is significantly less than one, thus, H ₀ : is rejected and less risky than the market.
B) $\beta$ is significantly higher than one, thus, H ₀ : is accepted and less risky than the market.
C) $\beta$ is significantly less than one, thus, H₀ : is accepted and riskier than the market.
D) $\beta$ is significantly higher than one, thus, H₀ : is rejected and riskier than the market.