2. You are an alpha hunter! Your job to identify assets with non-zero alphas, and is strategies. You are aware of to recommend appropriate trading CAPM limitations, and to account for them, you consider Fama French three-factor modol the "better" framework. In the sprcad sheet posted on Blackboard ("Group assignment. 3.xlsx") you will find monthly returns on ten "well-diversified" portfolios. These portfolios are identified by upper- casc letters, i.c., A, B, etc. Note that thcse arc returns, not risk p and that both CAPM and APT assess risk premi (excess returns). On "Sheet 2" of the same document, you can find the risk frce rate (rf), market risk premium (rm rf), SMB, and HML. In your empirical analysis, you stick traditional 5% significance level (type I error) (a Estimate CAPM for each portfolio, and determine whether or not, you find any non-zero alpha significantly different from zero lyou nced to estimate ten regressions). (b) Arc the significant and non-zero alpha (s), significantly positivecgativc? Hint: critical values used for one-sided and two sided hypothesis tests differ.) (c) Repcat the same stops using the Fama French three-factor model. Which findings of yours are different? 2. You are an alpha hunter! Your job to identify assets with non-zero alphas, and is strategies. You are aware of to recommend appropriate trading CAPM limitations, and to account for them, you consider Fama French three-factor modol the "better" framework. In the sprcad sheet posted on Blackboard ("Group assignment. 3.xlsx") you will find monthly returns on ten "well-diversified" portfolios. These portfolios are identified by upper- casc letters, i.c., A, B, etc. Note that thcse arc returns, not risk p and that both CAPM and APT assess risk premi (excess returns). On "Sheet 2" of the same document, you can find the risk frce rate (rf), market risk premium (rm rf), SMB, and HML. In your empirical analysis, you stick traditional 5% significance level (type I error) (a Estimate CAPM for each portfolio, and determine whether or not, you find any non-zero alpha significantly different from zero lyou nced to estimate ten regressions). (b) Arc the significant and non-zero alpha (s), significantly positivecgativc? Hint: critical values used for one-sided and two sided hypothesis tests differ.) (c) Repcat the same stops using the Fama French three-factor model. Which findings of yours are different