I have been studying CFA for couple of months but i sometimes i can not understand the null hypothesis. For example in the situation below why shouldn't our alternative hypothesis should be u = 0 and our null hypothesis being u not equal to zero?

The following information relates to Questions 6-7 Performance in Forecasting Quarterly Earnings per Share Number of Mean Forecast Error Standard Deviations of Forecasts (Predicted - Actual) Forecast Errors 101 0.05 0.10 Analyst A Analyst B 121 0.02 0.09 6 Investment analysts often use earnings per share (EPS) forecasts. One test of forecasting quality is the zero-mean test, which states that optimal forecasts should have a mean forecasting error of 0. (Forecasting error = Predicted value of variable - Actual value of variable.) You have collected data (shown in the table above) for two analysts who cover two different industries: Analyst A covers the telecom industry; Analyst B cov- ers automotive parts and suppliers. A With u as the population mean forecasting error, formulate null and alterna- tive hypotheses for a zero-mean test of forecasting quality. B For Analyst A, using both a t-test and a z-test, determine whether to reject the null at the 0.05 and 0.01 levels of significance. ( For Analyst B, using both a t-test and a z-test, determine whether to reject the null at the 0.05 and 0.01 levels of significance