The following table extracts the main results from Fama and MacBeth (1973) paper with 1935-1968 data. The coefficient estimates of the regression model are presented, along with t-statistics in brackets. Rit is the return of stock i in month t in excess of the risk free rate; i is the CAPM beta of stock i estimated using the past five years' monthly data; and Sei is the residual volatility of stock i. Assume the t-statistic "cut-off" at a 10% significance level is 1.65. Explain the "Two-Pass" procedure of Fama-French and what the cross-section (second pass) regression results below tell us about how well the CAPM fits the data:

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