Hello lecturers.

As I known. CAPM theory has suggested that the intercept must be equal to zero ("Accept" the null hypothesis that = 0) as well as the intercept has not significant impact on the prediction model of excess return.

But on my research, it shows that the large capacity stocks may have the intercept is not equal to zero ("Accept" the alternate hypothesis that 0).

So does the intercept has significant impact on the model?

If yes or no, why?

Please give me a detail explanation which can help me to correct my understanding. Thank you!