Consider a one$-$factor model for a stock$$s annual returns:

rt $=\backslash$alpha $+\backslash$beta rm$,$t $+$t

where rm$,$t is the return on market on year t$,$ and the rest of variables are self$-$explanatory. You

use a large sample to estimate the parameters and find an $\backslash$alpha of $0\mathrm{.}05$ and a $\backslash$beta of $1\mathrm{.}2.$ t$-$stats are

$2\mathrm{.}00$ and $12\mathrm{.}00,$ respectively. a$.$ Write the null and alternative consistent with testing whether the

$\backslash$beta of the stock is statistically different from $1.$ b$.$ What is the expected return on the stock next

year if market return is expected to be $0\mathrm{.}08?$