9. The first table below contains the regression results for a regression with monthly returns on a large-cap mutual fund as the dependent variable and monthly returns on a market index as the independent variable. The analysis is performed using only 12 monthly re- turns (in percent). The second table provides summary statistics for the dependent and independent variables. A. What is the predicted return on the large-cap mutual fund for a market index return of 8.00 percent? B. Find a 95 percent prediction interval for the expected mutual fund return. Regression Statistics Multiple R 0.776 R-squared 0.602 Standard error 4.243 Observations 12 Chapter 8 Correlation and Regression 377 Intercept Slope coefficient Coefficients -0.287 0.802 Standard Error 1.314 0.206 t-Statistic -0.219 3.890 p-Value 0.831 0.003 Large-Cap Fund Return Statistic Market Index Return 2.30% 6.21% 1.56% 6.41% Mean Standard deviation Variance Count 38.51 41.13 12 12