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

5. Consider a onefactor model for a stock's annual returns: 7} = C! + ,B'T'mng + Q 2 Where rum: is the return on market on year t, and the rest of variables are selfexplanatory. You use a large sample to estimate the parameters and nd an a of 0.05 and a of 1.2. tstats are 2.00 and 12.00, respectively. a. Write the null and alternative consistent with testing whether the 6 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 0.08