1. In the context of the paper by Hasanhodzic and Lo (2007), how do the authors account for the fact that hedge fund managers skill cannot be replicated.

a) They impose that all the s are equal to zero

b) They conduct parameter stability tests

c) They estimate the model with no intercept

d) They test for heteroskedasticity

2. In the paper by Gatev, Goetzmann and Rouwenhorst (2006), what is the null hypothesis in the t-test on strategy returns?

a) Expected (excess) returns of the strategy are zero

b) Returns of the strategy are nonstationary

c) (Excess) returns of the strategy are zero

d) Returns of the strategy are serially correlated