Question: Answer with solution You are using Fama and MacBeth (1973) approach to test the CAPM. You run 60 monthly cross-sectional regressions. The average value of

Answer with solution Answer with solution You are using Fama and MacBeth (1973) approach to

You are using Fama and MacBeth (1973) approach to test the CAPM. You run 60 monthly cross-sectional regressions. The average value of the intercept is 3.2 and the average value of the slope is 6.9. Further assume that the standard deviations of the intercept and the slope are 3.3 and 3.9 respectively. If the appropriate critical value oft is 1.6706. The intercept is and the slope is O a significant; significant O b. insignificant, insignificant c. significant; insignificant d. insignificant: significant h

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