Now run a so called Fama-MacBeth regression (2nd step), that is: each month regress excess returns on MarketCap only, then compute the average coefficient on Market Cap as well as the Fama-MacBeth t-statistic, which is avg(X)/ [stddev(X)/sqrt(T)], where: X is the monthly estimated slope coefficient when explaining Returns by MarketCap and T is the number of observations (the number of months in the sample). Higher MarketCap is associated with higher returns and this relation is statistically significant (t-statistic below -2 or above 2). Lower MarketCap is associated with higher returns and this relation is statistically significant (t-statistic below -2 or above 2). Higher MarketCap is associated with higher returns but this relation is not statistically significant (t-statistic below -2 or above 2). Lower MarketCap is associated with higher returns but this relation is not statistically significant (t-statistic below -2 or above 2).