The nonzero slope coefficient test is used for a renowned financial application referred to as the capital asset pricing model $($CAPM$).$The model $y=+x+,$ is

essentially a simple linear regression model that uses $$ and $,$ in place of the usual ${}_0$ and ${}_1,$ to represent the intercept and the slope coefficients, respectively.

Which of the following is true about the slope coefficient $a,$ called the stock's alpha?

The CAPM theory predicts a to be zero.

Abnormal returns are negative when

Measures how sensitive the stock's return is to changes in the level of the overall market

Abnormal returns are positive when $a>0.$