QUESTION 11 We run regressions of the excess returns of the two portfolios (Value and Growth) on the market excess return and obtain the following results. The numbers in brackets are the t-statistics. Portfolio Intercept MKT R-squared Value 0.048 (2.54) 0.95 (16.65) 0.86 Growth -0.012 (3.10) 1.11 (20.42) 0.91 What is the value premium after controlling for CAPM? A. 0.064 B. 0.036 C.0.16 OD. 0.048 E. 0.06 QUESTION 12 Given an optimal risky portfolio with expected return of 20% and standard deviation of 30% and a risk free rate of 8%, what is the slope of the best feasible CAL? O A 0.45 B. 0.33 C. 0.40 OD.0.14 E. 0.36 QUESTION 11 We run regressions of the excess returns of the two portfolios (Value and Growth) on the market excess return and obtain the following results. The numbers in brackets are the t-statistics. Portfolio Intercept MKT R-squared Value 0.048 (2.54) 0.95 (16.65) 0.86 Growth -0.012 (3.10) 1.11 (20.42) 0.91 What is the value premium after controlling for CAPM? A. 0.064 B. 0.036 C.0.16 OD. 0.048 E. 0.06 QUESTION 12 Given an optimal risky portfolio with expected return of 20% and standard deviation of 30% and a risk free rate of 8%, what is the slope of the best feasible CAL? O A 0.45 B. 0.33 C. 0.40 OD.0.14 E. 0.36