The following table shows intercept estimates when a portfolio’s excess return Ri – rf is regressed on the market excess return RM – rf. Estimate of Di from the regression: Ri – rf = Di + Ei (RM – rf)...

The following table shows intercept estimates when a portfolio’s excess return Ri – rf is regressed on the market excess return RM – rf. Estimate of Di from the regression: Ri – rf = Di + Ei (RM – rf) + Hi Di in % monthly Size and B/M portfolios Provide an economic interpretation of these estimates. Are they consistent with the CAPM? Why or why not?