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Q5. There are two regressions: It = a+ brMe + ut (1) It = c+ drMt + eVol; + Vt (2) where r is stock

Q5. There are two regressions: It = a+ brMe + ut (1) It = c+ drMt + eVol; + Vt (2) where r is stock returns, I'M,t is market returns, and Volt is market volatility. State the null hypothesis if regression (1) is nested in regression (2). [2]

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