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

The data in the table below was estimated using returns for

The data in the table below was estimated using returns for the period 2001 to 2011. E(r) BMICROSOFT, factor BCOCA-COLA, factor BCHEV RON, factor BGE, factor PM -rf 2.7% 1 0.6 1 1.1 TSMB 5% -0.25 -0.23 -0.46 -0.21 THML 4.1% -0.67 -0.08 0.33 0.19 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 2%. What is the expected return of Chevron

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