Which of the Following Statements Is FALSE

question 50

Multiple Choice

Which of the following statements is FALSE?

• A)If the market portfolio is efficient,then all securities and portfolios must plot on the SML,not just individual stocks.
• B)For most stocks the standard errors of the alpha estimates are large,so it is impossible to conclude that the alphas are statistically different from zero.
• C)It is not difficult to find individual stocks that,in the past,have not plotted on the SML.
• D)Small stocks (those with lower market capitalization)have lower average returns.

---

Definitions:

Herfindahl-Hirschman Index

A measure of concentration calculated as the sum of the squares of the market share of each firm in an industry.

Largest Firm

The organization within a particular industry or market that has the highest revenue, market share, or workforce size.

Market Share

The percentage of an industry's total sales that is earned by a particular company over a specified time period.

Covert Collusion

A secret agreement between firms to fix prices, limit production, or divide markets, which is illegal and anti-competitive.