Go to Kenneth French's data library (google it) and get the following monthly returns from 1963-07 until 2020-07 (each line corresponds to a different data file):

T-Bills and Market Excess Return 3 portfolios formed on size (lowest 30%, intermediate 40%, highest 30%) 3 portfolios formed on BE/ME (lowest 30%, intermediate 40%, highest 30%)

a) Consider the portfolios formed on the smallest 30% stocks. What are its CAPM beta and abnormal return? Consider the portfolio formed on the largest 30% of stocks. What is its CAPM abnormal return? Provide intuition to your empirical findings.

b) Consider the portfolios formed on the 30% lowest BE/ME stocks. What are its CAPM beta and abnormal return? Consider the portfolio formed on the largest 30% BE/ME of stocks. What is its CAPM abnormal return? Provide intuition to your empirical findings.