There are two portfolios A and B, which you think capture macroeconomic risks. Denote the excess returns of these portfolios by RX and Rg. Consider a two-factor model specification: R = d; + BA, RA + BB, iRg + ei which implies that in expectation: E[R] = a; + B2:E[RA] +BB,E[R$]. There are two individual stocks x,y: I BA 0.8 0 BB 0.8 1.4 E[R] 6% 0 9% You wish to test the factors model in the data. You collect data on several portfolios, and compute their exposures to factors A and B. You run the following regression (notice that it is similar to a second-stage Fama-Macbeth (1973) regression) R = Yo + yiai + y2Bbi + Y3BA.ib,i + ei If the model is true, and there are no abnormal returns, what is your null-hypothesis for what yo, 71, 72, and Y3 should be? There are two portfolios A and B, which you think capture macroeconomic risks. Denote the excess returns of these portfolios by RX and Rg. Consider a two-factor model specification: R = d; + BA, RA + BB, iRg + ei which implies that in expectation: E[R] = a; + B2:E[RA] +BB,E[R$]. There are two individual stocks x,y: I BA 0.8 0 BB 0.8 1.4 E[R] 6% 0 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 + yiai + y2Bbi + Y3BA.ib,i + ei If the model is true, and there are no abnormal returns, what is your null-hypothesis for what yo, 71, 72, and Y3 should be