Example:

If the following equation is estimated for asset $i$ :

$P$ values

$r_i^t-r_f^{t-1}=+{}_i(R_M^{t-1}-r_f^{t-1})+{}^t$

$r_i^t-r_f^{t-1}=0\mathrm{.}01+1\mathrm{.}11(R_M^{t-1}-r_f^{t-1})+{}^t$

$R^2=0\mathrm{.}85$

Which of following can not be said?

a$)$ Because of its $P$ value is smaller than $0\mathrm{.}05,$the constant in equation is statistically

significant. The economic meaning of it is the CAPM doesn't create arbitrage pricing $($as assumed$)$ and it should be estimated without constant.

b$)$ This asset is riskier than market general.

c$)$ The unsystematic risk factor for the price is $85\%.$

d$)$ If the expected market return in last period is $\%10$ and risk free rate is $\%2,$ the expected excess return od the asset will be $\%9\mathrm{.}88$