You think that it is possible to outperform the CAPM and the Fama French 3 Factor model by forming a portfolio which goes long stocks with high information risk and sells short stocks with low information risk. Information risk relates to the transparency of the company and its public disclosures. You test your theory by regressing the monthly returns from your trading strategy on excess market returns, SMB, and HML. The results are presented below. Standard errors are reported in parentheses.