Question: [15 marks] In the Excel dataset file column B contains gross monthly percentage returns on a portfolio of US stocks (denoted by rp ), column

[15 marks] In the Excel dataset file column B contains gross

  1. [15 marks] In the Excel dataset file column B contains gross monthly percentage returns on a portfolio of US stocks (denoted by rp), column C contains gross monthly returns on the market portfolio (denoted by rm) and column D contains monthly returns on the risk-free asset (denoted by rf). Columns E, F and G contain values for three further variables denoted by SMB, HML and MOM, which are used in later questions.

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