Question: An analyst is interested in testing whether Age (defined as the number of years a company has been publicly listed) risk is priced in addition

An analyst is interested in testing whether "Age" (defined as the number of years a company has been publicly listed) risk is priced in addition to the market factor (Market) that is considered in CAPM. The analyst has decided to employ the Fama-McBeth two-stage procedure

Explain how to construct a portfolio to mimic the "Age" risk.

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