There are two portfolios A and B, which you think capture macroeconomic risks. Denote the excess returns of these portfolios by R, and Rg. Consider a two-factor model specification: RX = a1 + BARA + BB. Rg+ e which implies that in expectation: E[R'] = a + BALE [RA] + BB. E[RE]. There are two individual stocks x,y: OOR 0.8 0.8 1.4 ER 6% 9% 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 = Yo + Y1BA,i + Y2BB,1 + Y3BABBi te If the model is true, and there are no abnormal returns, what is your null-hypothesis for what yo, Y1, 72, and Y3 should be? There are two portfolios A and B, which you think capture macroeconomic risks. Denote the excess returns of these portfolios by R, and Rg. Consider a two-factor model specification: RX = a1 + BARA + BB. Rg+ e which implies that in expectation: E[R'] = a + BALE [RA] + BB. E[RE]. There are two individual stocks x,y: OOR 0.8 0.8 1.4 ER 6% 9% 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 = Yo + Y1BA,i + Y2BB,1 + Y3BABBi te If the model is true, and there are no abnormal returns, what is your null-hypothesis for what yo, Y1, 72, and Y3 should be