Question 9 1 . Now run a so called Fama- MacBeth regression ( 2 nd step ) , that is : each month regress excess returns on MarketCap only , then compute the average coefficient on Market Cap as well as the Fama - MacBeth t- statistic , which is avg ( X ) / [ stadev ( X ) / sart(T ) ] , where : X is the monthly estimated slope coefficient when explaining Returns by MarketCap and T is the number of observations ( the number of months in the sample ) . Higher MarketCap is associated with higher returns and this relation is statistically significant ( t-statistic below - 2 or above 2 ) . Lower MarketCap is associated with higher returns and this relation is statistically* significant ( t - statistic below - 2 or above 2 ) . Higher MarketCap is associated with higher returns but this relation is not statistically significant ( t- statistic below - 2 or above 2 ) . Lower MarketCap is associated with higher returns but this relation is not statistically significant ( t- statistic below - 2 or above 2 )