Consider the following regression model for excess returns on an asset i:

Zit$=\backslash$alpha i$+\backslash$beta imZmt$+\backslash$epsi it;$\backslash$epsi it$$iidN$(0,\backslash$sigma $2\backslash$epsi $)$

where Zi$=$Ri$$Rf$,$Zm$=$Rm$$Rf$,$Ri

is the return on the asset i$,$Rf is the return on a risk$-$free asset, Rm is the return on the market portfolio. Which of the following is true for testing the capital asset pricing model $($CAPM$)?$

a$.$ We can use the CAPM to test for the implication that the excess market return is negative

b$.$ To run a t$-$test, first we run the regression, then we collect $\backslash$beta $^$im

and we divide this by $\backslash$alpha $^$i

c$.$ The ratio that results from a t$-$test is not normally distributed asymptotically

d$.$ None of the options

e$.$ The CAPM assumes that $\backslash$alpha i is $0\mathrm{.}5$