8 25 You estimate the CAPM model for 10 size decile portfolios, as in homework 1. If size is a systematic risk factor, as discussed in class, you would expect to see A systematic mispricing, or alpha, such that the alphas of small cap stocks are large and positive while the alphas of large cap stocks are large in absolute value and negative. The alphas of the portfolios 1 (smallest companies) and 10 (largest companies) should be significant. A systematic mispricing, or alpha, such that the alphas of small cap stocks in portfolios 1 to 4 are large and positive while the alphas of large cap stocks in portfolios 6 to 10 are large in absolute value and negative. The R2 of the 10 size decile portfolios to be increasing with size. A systematic mispricing, or alpha, such that the alphas of small cap stocks are larger than the alphas of large cap stocks. But all alphas should be positive and significant