A researcher has proposed a new factor to explain stock returns. She calls the factor "Consumer Risk" - it is based on the idea that much of the US economy is driven by consumer spending. She forms a factor portfolio by going long stocks that are highly exposed to consumer spending and shorting stocks that have low exposures to consumer spending. The average return on the factor portfolio is 0.5% per month. Using 47 industry portfolios as test assets she uses the two step approach to test whether the factor is able to explain average excess returns. The first step involves estimating betas, while in the second step she regresses average monthly excess returns on the estimated betas. The results are provided below. Standard errors are reports in parentheses. Coefficient CAPM Intercept 0.0020 (0.0015) Mkt Beta 0.0030 (0.0014) Consumer Beta 0.0043 (0.0030)