You estimate a regression of the form given below in order to evaluate the effect of firm-specific factors on the returns of a sample of firms i. You run a cross-sectional regression with 200 firms (standard errors in parentheses) r_i = 0.080 (0.064) + 0.801s_i (0.147) + 0.321 MB_i (0.136) + 0.164 PE_i (0.420) - 0.084 BETA_i (0.120) Where: r_i is the percentage annual return for the stock Si is the size of the firm i measured in terms of sales revenue MB_i is the market to book ratio of the firm PE_i is the price/earnings (P/E) ratio of the firm BETA_i is the stock's CAPM beta coefficient a) Calculate the t-statistics for all coefficients. What do you conclude about the effects of each variable on the returns of the security? b) If a stock's beta increased from 1 to 1.2, what would be the expected effect of the stock's return? Is the sign in the above regression on beta as you would have expected? Critically explain your answers in each case