You run a regression of the excess return of Find P (Rp) on the excess return on the S&P 500 index (Rm), of the following form, where D takes a value of 1 when the index return is positive and 0 otherwise:

Rp = Alpha + Beta*Rm + Gamma*Rm*D + epsilon

The results are as follows:

Alpha = 0.15 (t-statistic 2.90)

Beta = 1.25 (t-statistic 10.87)

Gamma = 0.06 (t-statistic 0.05)

Based on these results, you may conclude all the following, except:

	a.	The fund outperformed the market index, based on alpha
	b.	If the market index rises by 1%, the fund value is expected to rise by more than 1%
	c.	Over the sample period, beta has stayed about the same whether the market went up or down
	d.	The funds manager demonstrated market timing ability