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, the conclusion to the test is at the 5% significance level is to ________.

A) reject H₀; we can conclude there are abnormal returns
B) not reject H₀; we can conclude there are abnormal returns
C) reject H₀; we cannot conclude there are abnormal returns
D) not reject H₀, we cannot conclude there are abnormal returns