Which of the Following Statements Is False

question 44

Multiple Choice

Which of the following statements is false?

• A) Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient.
• B) The size effect is the observation that firms with high book-to-market ratios have positive alphas.
• C) If the market portfolio is not efficient, then a portfolio of high book-to-market stocks will likely have positive alphas.
• D) Portfolios with low book-to-market ratios will have negative alphas if the market portfolio is not efficient.

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