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

The data in the table below was estimated using returns for the period 2001 to 2011. E(r) MICROSOFT, factor BCOCA-COLA, factor BCHEVRON, factor BGE, factor THML 4.1% 1.3% -0.15 0.15 -0.4 -0.26 TM-Tf TSMB 2.7% 5% 1 -0.25 -0.67 0.6 -0.23 -0.08 1 -0.46 0.33 1.1 -0.21 0.19 a. What can you conclude about the return on stocks with high book-to-market ratios relative to stocks with low book-to-market ratios? What can you conclude about the return on large capitalisation stocks relative to small capitalisation stocks? b. Suppose that the risk-free rate is 3%. What is the expected return of Chevron?

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