You have estimated the 4-factor model (Fama-French 3 factors + Momentum) for a stock: Regression Model Estimates for Stock Return Standard Error Intercept MKT-RF SMB HML MOM Coefficients 0.01 1.10 -0.32 -0.30 0.24 0.00 0.09 0.16 0.11 0.13 t-stat 3.06 10.84 -2.05 -2.58 1.79 P-value 0.00 0.00 0.04 0.01 0.08 You will use the 10% threshold for statistical significance. A. (1 point) Which of the 4 factors are statistically significantly related to the stock return? B. (1 point) Determine whether the stock is cyclical, defensive, or hedging against the systematic risk. C. (1 point) Suppose that you want to construct a portfolio of growth stocks. Would you include this stock in your portfolio? D. (1 point) Suppose that you want to construct a momentum portfolio that favors investing in past winners. Would you include this stock in your portfolio? Note: You must explain your answers briefly and clearly. You have estimated the 4-factor model (Fama-French 3 factors + Momentum) for a stock: Regression Model Estimates for Stock Return Standard Error Intercept MKT-RF SMB HML MOM Coefficients 0.01 1.10 -0.32 -0.30 0.24 0.00 0.09 0.16 0.11 0.13 t-stat 3.06 10.84 -2.05 -2.58 1.79 P-value 0.00 0.00 0.04 0.01 0.08 You will use the 10% threshold for statistical significance. A. (1 point) Which of the 4 factors are statistically significantly related to the stock return? B. (1 point) Determine whether the stock is cyclical, defensive, or hedging against the systematic risk. C. (1 point) Suppose that you want to construct a portfolio of growth stocks. Would you include this stock in your portfolio? D. (1 point) Suppose that you want to construct a momentum portfolio that favors investing in past winners. Would you include this stock in your portfolio? Note: You must explain your answers briefly and clearly