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You estimate that a portfolio that goes long small stocks and shorts large stocks, called SMB (Small minus Big), has an expected excess return of

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You estimate that a portfolio that goes long small stocks and shorts large stocks, called SMB (Small minus Big), has an expected excess return of 9.4% and a beta of 1.4. The risk free rate is 1% and the market risk premium is 6%. What is SMB's alpha relative to CAPM? O A 0% B. 1% C.1% D.2%

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