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Nazik, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 95% of the time due to her skill and not luck. To support her claim, she presents regression results based on 72 monthly observations as follows:
alpha = 0.58%.
standard error of alpha = 0.232%
Would you reject the null hypothesis of true α = 0 and accept her claim of superior performance 95% of the time due to her skill? A. t = 2.50; reject the null hypothesis; reject her claim. B. t = 2.50; reject the null hypothesis; accept her claim. C. t = 2.39; fail to reject the null hypothesis; accept her claim. D. t = 2.39; reject the null hypothesis; accept her claim. |