When we test CAPM using historical data, a classic test is to regress excess returns of stocks onto the stock betas, using the following regression specification across stocks:

where

is the average excess return of a security or portfolio,

is the estimated beta of the security or portfolio,

is the regression residual, and

$($Alpha$)$ and

$($Gamma$)$ are regression coefficients.

Based on the regression, which of the following statements are true if CAPM is true? Select all two correct statements.

Group of answer choices

The Alpha is zero

The Alpha is positive

The Gamma is positive

The Gamma is zero