In a Time Series Regression of the Excess Return of a Mutual

question 20

Multiple Choice

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?

• A) The estimate for \(\alpha\)should be positive and statistically significant
• B) The estimate for \(\alpha\) should be positive and statistically significantly greater than the risk-free rate of return
• C) The estimate for \(\beta\) should be positive and statistically significant
• D) The estimate for \(\alpha\) should be negative and statistically significant.

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