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

Z$\_($it$)=\backslash$alpha $\_($i$)+\backslash$beta $\_($im$)$Z$\_($mt$)+\backslash$epsi $\_($it$)$;$,\backslash$epsi $\_($it$)$iidN$(0,\backslash$sigma $\_(\backslash$epsi $)^(2))$

where Z$\_($i$)=$R$\_($i$)-$R$\_($f$),$Z$\_($m$)=$R$\_($m$)-$R$\_($f$),$R$\_($i$)$ is the return on the asset i$,$R$\_($f$)$ is the return on a

risk$-$free asset, R$\_($m$)$ is the return on the market portfolio. Which of the following i$($s$)/($a$)$re true

according to the capital asset pricing model $($CAPM$)?$ Choose all.

I. The CAPM assumes that $\backslash$alpha $\_($i$)$ is $0$

II$.$ The CAPM assumes that $\backslash$beta $\_($im$)$ is $0$

III. The CAPM tests whether R$\_($m$)$ is correctly priced

IV$.$ The chi$-$square test squares the alpha to test for the null

$($a$)$ I, II$,$ III

$($b$)$ I, III

$($c$)$ II$,$ III

$($d$)$ I, III, IV

$($e$)$ None of the options$|$