Question 10 1 . As before , run a so called Fama- MacBeth regression and compute the Fama - MacBeth t- statistic . But this time explain Returns by MarketCap as of January for each year , i.e . in February to December you use the market cap estimated in January of each year for each stock . 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 ) . 10 points