Excess return with T - Stat

CFA Level II Quant
#1

Hello,
Can some one let me know what the author is trying to do by comparing alpha with error -coefficient and the t-stats? Under what condition would we reject the null?

T-Stat 1
T-Stat 13484×1643 247 KB

T-stat 2
T-stat 23467×313 70.1 KB

Thanks

#2

We would reject the null hypothesis if the absolute value of the t-statistic were greater than the t-critical value. Same as for any other 2-tail t-test.

Depending on the α you choose, the t-critical value could be around 1.6 or around 2.0 or above 2.0. In any case, 0.8 is not significant for any reasonable α.

#3

Thank you for the reply.
Shouldn’t you reject the null if the T stats in higher than the critical value. As, higher t-stats means that the value is in the tail?(colored region)
One Tail test
What am I missing>

#4

This is a 2-tail test: you can have positive excess return or negative excess return.