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 CAPM model for Tiffany's return. To determine whether abnormal returns exist,which of the following competing hypotheses do you set up?

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