Two-Factor Model rj = b;o + bjiFi + bj2F2 + j, with E[ej]Fi] = 0 and Eej|F2] = 0. Two factors Fi and F2. 2 (10 points) Consider a two-factor model of asset returns with factors Fi and F2. Suppose that the first factor is the market return, i.e., Fi = rm. Under what conditions is it the case that the factor loading on the market return, i.e., coefficient bji for an asset j is equal to the market beta Bj? 2 (10 points) Consider a two-factor model of asset returns with factors Fi and F2. Suppose that the first factor is the market return, i.e., Fi = rm. Under what conditions is it the case that the factor loading on the market return, i.e., coefficient bji for an asset j is equal to the market beta Bj? Two-Factor Model rj = b;o + bjiFi + bj2F2 + j, with E[ej]Fi] = 0 and Eej|F2] = 0. Two factors Fi and F2. 2 (10 points) Consider a two-factor model of asset returns with factors Fi and F2. Suppose that the first factor is the market return, i.e., Fi = rm. Under what conditions is it the case that the factor loading on the market return, i.e., coefficient bji for an asset j is equal to the market beta Bj? 2 (10 points) Consider a two-factor model of asset returns with factors Fi and F2. Suppose that the first factor is the market return, i.e., Fi = rm. Under what conditions is it the case that the factor loading on the market return, i.e., coefficient bji for an asset j is equal to the market beta Bj