73. Consider the following single and three-factor model for the General Motors stock: "-", = a + Bum - Buswer + Burm. + where ro is a monthly return on the General Motors stock. ris an one-month Treasury bill rate, mis a monthly value-weighted return on all stocks in NYSE. AMEX. and NASDAQ, and rsma and rim are monthly size and B/M factors in the Fama-French 3 factor model. Assume that one-month Treasury bill is drm, 'SMB, and 'm are expected for the next month to be 2%, 4%, and -1%, respectively. The regression output is in the following table, and numbers in the brackets are standard errors. (15) Estimate R-Square a %) Single-Factor Model 0.56 -0.32 [0.14] 1.69 [0.78] 0.73 0.11 [0.14] 1.54 (0.66) -0.31 [0.13] Bom B. SMR . Based on the estimated alpha, does either single-factor model or the Fama-French 3 factor model hold? Perform hypothesis testing to answer this ques b. What are the expected returns for General Motors stock implied from two models? If you believe the market is efficient, which expected return do you support? Explain your answer. (5) c. Based on your answer in part b), are you going to buy or sell the General Motors stock? Explain your answer. (5) 73. Consider the following single and three-factor model for the General Motors stock: "-", = a + Bum - Buswer + Burm. + where ro is a monthly return on the General Motors stock. ris an one-month Treasury bill rate, mis a monthly value-weighted return on all stocks in NYSE. AMEX. and NASDAQ, and rsma and rim are monthly size and B/M factors in the Fama-French 3 factor model. Assume that one-month Treasury bill is drm, 'SMB, and 'm are expected for the next month to be 2%, 4%, and -1%, respectively. The regression output is in the following table, and numbers in the brackets are standard errors. (15) Estimate R-Square a %) Single-Factor Model 0.56 -0.32 [0.14] 1.69 [0.78] 0.73 0.11 [0.14] 1.54 (0.66) -0.31 [0.13] Bom B. SMR . Based on the estimated alpha, does either single-factor model or the Fama-French 3 factor model hold? Perform hypothesis testing to answer this ques b. What are the expected returns for General Motors stock implied from two models? If you believe the market is efficient, which expected return do you support? Explain your answer. (5) c. Based on your answer in part b), are you going to buy or sell the General Motors stock? Explain your