The following information relates to Questions 6-8. The table below shows SUE-sorted portfolio returns over the period of 1972-2012. SUE measures earnings momentum and is calculated as the change in the most recently announced quarterly camings per share from its value 4 quarters ago, divided by the standard deviation of this change over the prior 8 quarters. At the beginning of each calendar month, stocks are ranked in ascending order on the basis of their SUE at the end of the previous month. The ranked stocks are assigned to one of ten deciles portfolios. All stocks are value weighted within a given portfolio, and the portfolios are rebalanced every monih to maintain the weights. m,a,aF, and C are the average excess return, the CAPM alpha, the Fama-French 3-factor alpha, and the Carhart 4-factor alpha. tm,t,tfF and tc are their t-statistics, respectively. Source: Hou, K., Xue, C. and Zhang. L., 2015. Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), pp.650-705. Question 8 What is the CAPM alpha of the portfolio that takes long position in the High portfolio and short position in the Low partfotio? 051 0.35 6.53