Exhibit 15-6.Tiffany & Co.has been the world's premier jeweler since 1837.The performance of Tiffany's stock is likely to be strongly influenced by the economy.Monthly data for Tiffany'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 CAPM model for Tiffany's return. Refer to Exhibit 15-6.When testing whether there are abnormal returns,or whether the alpha coefficient is significantly different from zero,the value of the test statistic is

Question

Exhibit 15-6.Tiffany & Co.has been the world's premier jeweler since 1837.The performance of Tiffany's stock is likely to be strongly influenced by the economy.Monthly data for Tiffany'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 CAPM model for Tiffany's return.  Refer to Exhibit 15-6.When testing whether there are abnormal returns,or whether the alpha coefficient is significantly different from zero,the value of the test statistic is

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The Answer of Exhibit 15-6.Tiffany & Co.has been the world's premier jeweler since 1837.The performance of Tiffany's stock is likely to be strongly influenced by the economy.Monthly data for Tiffany'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 CAPM model for Tiffany's return.  Refer to Exhibit 15-6.When testing whether there are abnormal returns,or whether the alpha coefficient is significantly different from zero,the value of the test statistic is