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An analyst is investigating the hypothesis that the beta of a fund is equal to one. The analyst takes 60 monthly returns for the fund and regresses them against the Wilshire 5000. The test statistic is 1.97 and the p-value is 0.05. Which of the following is CORRECT? A. If beta is equal to 1, the likelihood that the absolute value of the test statistic is equal to 1.97 is less than or equal to 5%. B. For a sample of 100 beta values, the expected number of times beta would be equal to 1 is less than or equal to 5%. C. The proportion of occurrences when the absolute value of the test statistic will be higher when beta is equal to 1 than when beta is not equal to 1 is less than or equal to 5%. D. If beta is equal to 1, the likelihood that the absolute value of the test statistic would be greater than or equal to 1.97 is 5%. |