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Based on monthly returns for an actively managed portfolio during the last five years, a benchmark timing regression equation produces an estimate of MTCP (market timing coefficient) equal to 2.3 and a standard error of the estimate equal to 1.8. Based on the estimated t-statistics of _______, we _____________ the null hypothesis that true MTCP = 0 (absence of market timing skills) at 99% confidence level. A. 2.67; fail to reject. B. 1.27; reject. C. 3.67; reject. D. 1.27; fail to reject. |