. In our discussion of the multi-index model, we constructed our indexes to be uncorrelated with each other. At what point in our calculations was that fact used? In other words, what would be different if we had not constructed uncorrelated indexes?

2. Here is the website from where you can obtain the Fama-French factors: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Benchmar ks The first three values, for September 2017, are listed as: 2.51, 4.54, 3.04. Interpret these three values.

3. In our discussion of CAPM, we mentioned that unlimited short sales is not a necessary assumption. Could we have dropped that assumption in the proof of CAPM we went through in class without any adjustments? Explain.

4. What is the meaning of "zero-beta" in Zero-Beta CAPM? How is it different from regular CAPM?

5. What is the biggest innovation that Fama & MacBeth introduced in their landmark 1973 paper for testing CAPM?