There are two portfolios A and B, which you think capture macroeconomic risks. Denote the excess returns of these portfolios by Ri and Rg. Consider a two-factor model specification: Rp = a; + BARA + BB. Rg + ei which implies that in expectation: E[R] = d; + BAE[RX] + BB, E[R]. There are two individual stocks x, y: = a 0 0 0.8 0 BB 0.8 1.4 E[R] 6% 9% y You wish to test the factors model in the data. You collect data on several portfolios, and compute their exposures to factors A and B. You run the following regression (notice that it is similar to a second-stage Fama-Macbeth (1973) regression) R = 10 + vaai + V2BB,i + Y3 Ba.ie,i + ei If the model is true, and there are no abnormal returns, what is your null-hypothesis for what 70, 71, 72, and y3 should be