D

问题如下：

Based on 60 monthly returns, you estimate an actively managed portfolio alpha = 1.24% and standard error of alpha = 0.1278%. The portfolio manager wants to get due credit for producing positive alpha and believes that the probability of observing such a large alpha by chance is only 1%. Calculate the t-statistic, and based on the estimated t-value would you accept (or reject) the claim made by the portfolio manager.

选项：

A.t = 9.70, accept

B.t = 2.66, accept

C.t = 2.66, reject

D.t = 9.70, reject

解释：

With 60 observations and such a large t value, you would have rejected H0 (alpha = 0). The manager should receive credit for the statistically significant alpha.