Tiffany & Co

Multiple Choice

Tiffany & Co. has been the world's premier jeweler since 1837. The performance of Tiffany's stock is likely to be strongly influenced by the economy. Monthly data for Tiffany's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60) . The accompanying table shows the regression results when estimating the Capital Asset Pricing Model (CAPM) model for Tiffany's return. You would like to determine whether an investment in Tiffany's is riskier than the market. When conducting this test, you set up the following competing hypotheses: ________.

A) H₀: α = 0; H_A: α ≠ 0.
B) H₀: β = 0; H_A: β ≠ 0
C) H₀: α ≤ 1; H_A: α > 1
D) H₀: β ≤ 1; H_A: β > 1