(d) Suppose that the market model from a CAPM model set up of Emit) : Rf + i[E[Rm] + #1: is as following. Ric : at + tRmt + Hit (1} Where Ra is the excess return for security 1' at time t, Rm: is the excess return on a proxy for the market portfolio at time 1', and ,u; is an iid random disturbance term. The coefcient beta in this case is also the CAPM beta for security i. The Eview output obtained from the estimation of equation (1) is summarised as per the following: 3 = 1.100. SEQ?) = 0.061 An economist analyst has told you that this security closely follows the market, but that it is no more risky, on average, than the market. This can be tested by the null hypotheses that the value of beta is one. The model is estimated over 62 daily observations. i. Test this hypothesis against a one-sided alternative that the security is more risky than the market, at the 5% level. (6 marks) ii. What do you conclude? Are the investment banker's claims empirically veried