Which of the Following Statements Is False

question 54

Multiple Choice

Which of the following statements is false?

• A) The size effect is the observation that small stocks have positive alphas.
• B) When considering portfolios formed based on the market-to-book ratio, most of the portfolios plot below the security market line.
• C) The largest alphas occur in the smallest size deciles.
• D) When considering portfolios formed based on size, although the portfolios with the higher betas yield higher returns, most size portfolios plot above the security market line.