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You run a regression of a stock's excess returns versus excess returns on market index and find the following: Based on the data, you know
You run a regression of a stock's excess returns versus excess returns on market index and find the following: Based on the data, you know that the stock _____. The excess returns used in the regression are computed in excess of relevant risk-free return.
a.)has a value for alpha that is statistically indistinguishable from zero
b)has a beta precisely equal to .890
c)has a beta that is likely to be greater than 1.465 inclusive
d)has no systematic risk
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