18) The market return is 11% and the risk free rate is 4%. Mammoth Inc. has a market beta of 1.2, a SMB beta of -78, and a HML beta of -1.2. The risk premium on HML and SMB are both 3%. If the single factor model generates a regression coefficient of 1.2, using the Fama-French Three Factor Model, what is the different in returns between the Three-Factor model and the single factor model expected returns on Mammoth Inc. stock? A) 16.3% B) 11.3% C) 5.94% D) 5.66%