4. According Fama and French (1992), the variation of beta related to size is positively correlated with return, but the variation of beta unrelated to size is not compensated by return. 5. Many trading strategies can generate consistent abnormal return patterns. Those strategies are arbitrage opportunities, raising challenges to the efficient market hypothesis. II. Part two 1. A fim's current stock price is 160s. We expect that the firm's price will increase to (intere payoff to be either 220S or one of the firm's share. Please calculate the p of the convertible bond. (15 points) 240S or 200S at next period. Risk-free interest factor R is 1.2 st rate is 20%). There is a convertible zero-coupon bond, with future