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Suppose that assets are priced by the Fama-French Three-Factor model. The risk-free rate is 3%. The market premium is 13%. There are two well-diversified portfolios,

Suppose that assets are priced by the Fama-French Three-Factor model. The risk-free rate is 3%. The market premium is 13%. There are two well-diversified portfolios, A and B, have the following attributes:

Portfolio	Beta on market	Beta on SMB	Beta on HML	Expected Return
A	1.2	0.5	0.2	22.2%
B	0.8	-0.2	0.8	19%

What are the SMB and HML premium?

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