Question: This regression equation is used to test for market timing ability: r Pt - r Ft = a + b(r Mt - r Ft )

This regression equation is used to test for market timing ability:

rPt - rFt = a + b(rMt - rFt) + c(rMt - rFt) x D

A portfolio manager that has market timing skills would have a portfolio in which the regression:

has a positive "c" coefficient

has a negative "c" coefficient

has a positive "a" coefficient

has a negative "a" coeffcient

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