Consider the regression model:

$,$

where is a dummy variable that equals $1$ during a financial crisis and $0$ otherwise. Suppose the estimated coefficient for $()$ is $-2\mathrm{.}5\%,$ and the constant term $()$ is $1\mathrm{.}2\%.$

What does the dummy coefficient tell us$?$

A$.$

Holding the effects of other variables constant, the estimated stock return is on average $2\mathrm{.}5\%$ higher during a financial crisis, compared to the normal market period.

B$.$

Holding the effects of other variables constant, the estimated stock return is on average $2\mathrm{.}5\%$ lower during a financial crisis, compared to the normal market period.

C$.$

Holding the effects of other variables constant, the estimated stock return is on average is $1\mathrm{.}2\%$ lower during a financial crisis, compared to the normal market period.

D$.$

The return is unaffected by a financial crisis, compared to the normal market period.