Question: Question 2 (essential to cover) The data in the table below was estimated using returns for the period 2001 to 2011. E(r) BMICROSOFT, factor BCOCA-COLA,

Question 2 (essential to cover) The data in the table below

Question 2 (essential to cover) The data in the table below was estimated using returns for the period 2001 to 2011. E(r) BMICROSOFT, factor BCOCA-COLA, factor BCHEVRON, factor BGE, factor TM -rf PSMB PHML 2.7% 5% 4.1% 1 -0.25 -0.67 0.6 -0.23 -0.08 1 -0.46 0.33 1.1 -0.21 0.19 MOM 1.3% -0.15 0.15 -0.4 -0.26 a. What can you conclude about the performance of stocks with high book-to-market ratios relative to stocks with low book-to-market ratios? b. What can you conclude about the book-to-market ratio of Microsoft? c. Can you conclude that you should invest all your money in the SMB portfolio? d. Suppose that the risk-free rate is 3%. What is the expected return of Chevron

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