Suppose equity returns can be explained by the Fama–French three factor model. The firm-specific risks for all equities are independent. The following table shows the information for three diversified portfolios:

Assuming that the base return on each portfolio is 6 per cent and the risk free rate is 5 per cent, what are the risk premiums for each factor in this model?

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Portfolio A Portfolio B Portfolio C S 0.75 1.60 0.85 7 1.20 -0.20 1.20 0.04 0.07 0.65 E(R) (%) 18 14 22