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. When testing whether there are abnormal returns,the conclusion to the test is at the 5% significance level is to ___________________________________________________.

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