Which of the Following Statements Is False

question 72

Multiple Choice

Which of the following statements is false?

• A) A momentum strategy is one where you buy stocks that have had low past returns and (short) sell stocks that have had high past returns.
• B) Over the years since the discovery of the CAPM, it has become increasing clear to researchers and practitioners alike that forming portfolios based on market capitalization, book-to-market ratios, and past returns, one can construct trading strategies that have a positive alpha.
• C) Portfolios containing firms with the highest realized returns over the previous six months have positive alphas over the next six months.
• D) If the market portfolio is not efficient, then a portfolio of small stocks will likely have positive alphas.

---

Definitions:

Polychronic

A cultural attitude towards time management where people handle multiple tasks simultaneously and consider time as more fluid.

Universal

A term that implies applicability or relevance to all cases or situations without exception.

Cross-Cultural

Pertaining to or comparing two or more different cultures, often emphasizing the interaction and comparative study of their differences and similarities.

Cross-Border Mergers

Transactions where companies from different countries combine their operations or assets, often to expand market reach or consolidate industry positions.