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 there are abnormal returns,the conclusion to the test is at the 5% significance level is:

A) Reject H₀,and conclude there are abnormal returns.
B) Do not reject H₀,and conclude there are abnormal returns.
C) Reject H₀,and do not conclude there are abnormal returns.
D) Do not reject H₀,and do not conclude there are abnormal returns.