Pfizer Inc. is the world's largest research-based pharmaceutical company. Monthly data for Pfizer's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60). The accompanying table shows the regression results when estimating the Capital Asset Pricing Model (CAPM) model for Pfizer's return. a. At the 5% significance level, is the beta coefficient less than one? Show the relevant steps of the appropriate hypothesis test.
B) At the 5% significance level, are there abnormal returns? Show the relevant steps of the appropriate hypothesis test.

Question

Pfizer Inc. is the world's largest research-based pharmaceutical company. Monthly data for Pfizer's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60). The accompanying table shows the regression results when estimating the Capital Asset Pricing Model (CAPM) model for Pfizer's return.  a. At the 5% significance level, is the beta coefficient less than one? Show the relevant steps of the appropriate hypothesis test.
B) At the 5% significance level, are there abnormal returns? Show the relevant steps of the appropriate hypothesis test.

Quizplus · Accepted Answer

The Answer of Pfizer Inc. is the world's largest research-based pharmaceutical company. Monthly data for Pfizer's risk-adjusted return and the risk-adjusted market return are collected for a five-year period (n = 60). The accompanying table shows the regression results when estimating the Capital Asset Pricing Model (CAPM) model for Pfizer's return.  a. At the 5% significance level, is the beta coefficient less than one? Show the relevant steps of the appropriate hypothesis test.
B) At the 5% significance level, are there abnormal returns? Show the relevant steps of the appropriate hypothesis test.