The CAPM predicts that for each stock, the slope (beta) for SMB and HML will be zero. Explain why the CAPM makes this prediction. Do you accept this null hypothesis? Why or why not? If the Fama–French...

The CAPM predicts that for each stock, the slope (beta) for SMB and HML will be zero. Explain why the CAPM makes this prediction. Do you accept this null hypothesis? Why or why not?

If the Fama–French model explains all covariances between the returns, then the correlation matrix of the residuals should be diagonal. What is the estimated correlations matrix? Would you accept the hypothesis that the correlations are all zero?