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 . The accompanying table shows the regression results when estimating the Capital Asset Pricing Model (CAPM) model for Tiffany's return. When testing whether there are abnormal returns, or whether the alpha coefficient is significantly different from zero, the value of the test statistic is ________.

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