The Fama-French 3-factor model has been estimated for stocks A and B with the following results: RA=0.01 +1.2RM +0.5RS.MB-0.3RHXL +6A Rg = 0.02 +0.5R4 -0.4RS.ME + 0.0 RHM +EB The factor covariance matrix is 0.04 0.01 0 0.01 0.020 0 0 0.03 What is the covariance between the returns of A and B? O 0.0511 O 0.0177 O 0.1219 O 0.0305 The Fama-French 3-factor model has been estimated for stocks A and B with the following results: RA=0.01 +1.2RM +0.5RS.MB-0.3RHXL +6A Rg = 0.02 +0.5R4 -0.4RS.ME + 0.0 RHM +EB The factor covariance matrix is 0.04 0.01 0 0.01 0.020 0 0 0.03 What is the covariance between the returns of A and B? O 0.0511 O 0.0177 O 0.1219 O 0.0305