Which of the Following Statements Is False

question 42

Multiple Choice

Which of the following statements is false?

• A) The existence of the momentum trading strategy has been widely known for at least ten years.
• B) The information required to implement a momentum strategy is not readily available to investors.
• C) If the market portfolio is not efficient, then a stock's beta with the market is not an adequate measure of its systematic risk.
• D) If the market portfolio is not efficient, then the so-called profits from a positive alpha trading strategy are really returns for bearing risk that investors are averse to and the CAPM doesn't capture.