A researcher has proposed a new factor to explain stock returns. She calls the factor "Consumer Risk" - it is based on the idea that much of the US economy is driven by consumer spending. She forms a factor portfolio by going long stocks that are highly exposed to consumer spending and shorting stocks that have low exposures to consumer spending. The average return on the factor portfolio is 0.5% per month. Using 47 industry portfolios as test assets she uses the two step approach to test whether the factor is able to explain average excess returns. The first step involves estimating betas, while in the second step she regresses average monthly excess returns on the estimated betas. The results are provided below. Standard errors are reports in parentheses.

Coefficient CAPM

Intercept 0.0020(0.0015)

Mkt Beta 0.0030(0.0014)

Consumer Beta 0.0043(0.0030)

Which of the following statements is false?

The evidence is consistent with the empirical predictions of the CAPM.

The intercept is not significantly different from zero.

There is significant evidence that market betas are able to explain average excess returns.

The estimated coefficient on consumer betas is significantly different from zero, supporting the researcher's idea.

The estimated coefficient on consumer betas is positive, but not significantly different from zero, so we reject the researcher's idea.