Consider the regression equation:

ri $$ rf $=$ g$0+$ g$1$bi $+$ g$2$s$2($ei$)+$ eit

where:

ri $$ rt $=$ the average difference between the monthly return on stock i and the monthly risk$-$free rate

bi $=$ the beta of stock i

s$2($ei$)=$ a measure of the nonsystematic variance of the stock i

If you estimated this regression equation and the CAPM was valid, you would expect the estimated coefficient, g$1,$ to be