You download the last 3 years of daily return data on Apple and use the Fama-French 3-factor model + momentum to evaluate its risk and recent performance. You regress the excess return of apple on the excess market return, the small-minus-big portfolio (SMB), the high-minus-low portfolio (HML), and the momentum portfolio (UMD). Your regression output is as follows: Standard Lower Upper Lower Upper Coefficients Error t Stat P-value 9596 9596 95.096 95.096 Intercept 0.000349 0.000361 0.966679 0.333954 -0.00036 0.001058 -0.00036 0.001058 MKT - RF 1.199839 0.043783 27.4041 6.7E-122 1.113914 1.285763 1.113914 1.285763 smb -0.20862 0.075146 -2.77615 0.00561 -0.35609 -0.06114 -0.35609 -0.06114 hml -0.59654 0.071889 -8.29805 3.66E-16 -0.73762 -0.45545 -0.73762 -0.45545 umd -0.00052 0.054404 -0.00959 0.99235 -0.10729 0.106245 -0.10729 0.106245 Which Statement is FALSE? Apple realized a positive alpha the last three years Apple has a market beta of about 1.2 On days that small stocks out-performed large stocks, apple probably performed better than the market According to the regression output, Apple's returns are more characteristic of a growth stock than a value stock