The following monthly return series appear in the file:

A. The excess return on a portfolio of two industry stocks from Fama and French, namely, consumer goods and services, and health.

cnsmr rf _ (Average monthly excess return on a stock portfolio comprising firms which operate in the provision of consumer goods and services, both in retail and wholesale. The consumer goods industry stocks are listed on U.S. exchanges and the return is in excess of the U.S. risk free rate).

hlth rf _ (Average monthly excess return on a portfolio of health industry stocks. The stocks in the health industry are listed on U.S. exchanges and the return is in excess of the U.S. risk free rate).

B. Returns on four pricing factors from Fama and French.

mkt rf _ (Excess return on a weighted portfolio of all stocks in the U.S. market. It is the U.S. Market Risk Premium).

hml (High minus Low. It is the average monthly return on a portfolio of High Book-to-Market (Value) stocks less the average monthly return on a portfolio of Low Book-to-Market (Growth) stocks).

smb (Small minus Big. It is the average monthly return on a portfolio of small capitalization stocks less the average monthly return on a portfolio of large (big) capitalization stocks).

rmw (Robust minus Weak. It is the average monthly return on a portfolio of stocks for firms with robust operating profitability less the average monthly return on a portfolio of stocks for firms with weak operating profitability). Note: All of the returns are expressed in percent, e.g. 2.65% is represented by 2.65, not by 0.0265.

1. What sign would you expect the estimated coefficient on each factor to have in a regression of a portfolio return on the four factors? (Hint: To read about the factors, hml and smb, search under Fama-French three factor model and to read about rmw,search under Fama-French five factor model)