Consider a one-factor model for a stocks annual returns: rt = + rm,t + errort 2 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 of 0.05 and a of 1.2. t-stats are 2.00 and 12.00, respectively.

a. Write the null and alternative consistent with testing whether the of the stock is statistically different from 1.