Exhibit 15-6

Multiple Choice

Exhibit 15-6.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 CAPM model for Tiffany's return. Refer to Exhibit 15-6.When testing whether the beta coefficient is significantly greater than one,the relevant critical value at the 5% significance level is .The conclusion to the test is:

A) Reject H₀,and conclude that the return on Tiffany stock is riskier than the return on the market.
B) Do not reject H₀,and conclude that the return on Tiffany stock is riskier than the return on the market.
C) Reject H₀,and conclude that the return on Tiffany stock is less risky than the return on the market.
D) Do not reject H₀,and conclude that the return on Tiffany stock is less risky than the return on the market.