5) You run a time series regression of future equity market excess returns on market variance. The regression result is below: Intercept 0.01 t-stat: 5.44 Coefficient -0.17 t-stat: -0.61 R2 0.03 Which of the following statements is plausible? A. The coefficient is negative and the intercept is high. Therefore, the positive risk-return trade- off is a myth. B. The negative coefficient indicates a negative risk-return relationship and implies that the stock market is inefficient. C. The stock market is efficient and therefore we cannot predict future returns using past information such as stock realised variance. D. Stock market variance has two components: the average of pairwise correlations and the average of individual variances. The two components have different and potentially opposite impact on future market returns. As a result, we cannot reject the positive risk-return trade-off. E. Both C and D are correct. 5) You run a time series regression of future equity market excess returns on market variance. The regression result is below: Intercept 0.01 t-stat: 5.44 Coefficient -0.17 t-stat: -0.61 R2 0.03 Which of the following statements is plausible? A. The coefficient is negative and the intercept is high. Therefore, the positive risk-return trade- off is a myth. B. The negative coefficient indicates a negative risk-return relationship and implies that the stock market is inefficient. C. The stock market is efficient and therefore we cannot predict future returns using past information such as stock realised variance. D. Stock market variance has two components: the average of pairwise correlations and the average of individual variances. The two components have different and potentially opposite impact on future market returns. As a result, we cannot reject the positive risk-return trade-off. E. Both C and D are correct