To systematically test the performance of mutual funds, and in particular examine whether any 'beat the market', a research used a sample of annual returns on the portfolios of 52 mutual funds from 1965-2017. Each of the 52 funds was subjected to a separate OLS time series regression of the form: = + + where is the excess returns on the portfolio i at time t, where is the return on a market portfolio proxy, is the error term and and are parameters to be estimated. (a) Suppose that the estimated value of beta for a stock, was 1.22. The standard error of the estimate, SE() is estimated to be 0.041. An analyst claims that this security closely follows the market but is riskier, on average, than the market. Test if the stock is riskier than the market at the 5% level of significance using the p-value approach and state your conclusion clearly. (b) Another analyst claims that shares in ABC company have no systematic risk, in other words, that the returns on its shares are completely unrelated to movements in the market. The estimated value of beta and the standard error of its estimate is 0.346 and 0.231 respectively. Test the hypothesis using the p-value approach at the 1% level of significance and state your conclusion clearly. (c) Is hypothesis testing in general concerning the actual values of the coefficients, (i.e. ) or their estimated values (i.e )? Explain briefl