Question: 20. Suppose the CAPM-predicted expected return on Yahoo is 17%, but when you run a regression of excess return on Yahoo on the market excess

20. Suppose the CAPM-predicted expected return on Yahoo is 17%, but

20. Suppose the CAPM-predicted expected return on Yahoo is 17%, but when you run a regression of excess return on Yahoo on the market excess return, you find that the regression intercept has a value of 2.5% with 95% confidence interval between [0.763%, 4.246%). Which of the following is correct? A. Yahoo has a negative alpha. It is overpriced compared to CAPM. B. Yahoo has a negative alpha. It is underpriced compared to CAPM. C. Yahoo has a positive alpha. It is overpriced compared to CAPM. D. Yahoo has a positive alpha. It is underpriced compared to CAPM. E. Yahoo's alpha is not statistically different from zero. It is fairly priced compared to CAPM

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