In a time series regression of the excess return of a mutual fund on a constant and the excess return on a market index, which of the following statements should be true for the fund manager to be considered to have “beaten the market” in a statistical sense? Select one: a. The estimate for Beta (parameter) should be positive and statistically significant b. The estimate for Beta (parameter) should be positive and statistically significant c. The estimate for Beta (parameter) should be positive and statistically significantly greater than the risk-free rate of return d. The estimate for Beta (parameter) should be negative and statistically significant.

In a time series regression of the excess return of a mutual fund on a constant and the excess return on a market index, which of the following statements should be true for the fund manager to be considered to have “beaten the market” in a statistical sense? Select one: a. The estimate for Beta (parameter) should be positive and statistically significant b. The estimate for Beta (parameter) should be positive and statistically significant c. The estimate for Beta (parameter) should be positive and statistically significantly greater than the risk-free rate of return d. The estimate for Beta (parameter) should be negative and statistically significant.

Economics:

10th Edition

ISBN:9781285859460

Author:BOYES, William

Publisher:BOYES, William

Chapter31: Capital Markets

Section: Chapter Questions

Problem 8E

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