Problem $2$

The analyst uses the historical returns to estimate the expected return for the US Large Cap fund as follows:

$r_i-r_f={}_i+{}_i(r_{mkt}-r_f)+lo{n}_i$

The result from the estimation is:

$\backslash$table$[[,$Coefficients,t$\_$stat,p$\_$value$],[,0\mathrm{.}02,1\mathrm{.}78,0\mathrm{.}076],[,0\mathrm{.}80,2\mathrm{.}93,0\mathrm{.}004]]$

a$.[1pt]$ Is this fund's abnormal return statistically significantly different from zero?

b$.[2$pt$]$ What is the fund's expected return if the current risk$-$free rate is $4\mathrm{.}00\%$ and the analyst predicts that the market expected return is $10\mathrm{.}00\%?$