Which of the Following Statements Is False

question 15

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 increasingly clear to researchers and practitioners alike that by forming portfolios based on market capitalization, book-to-market ratios, and past returns, one can construct trading strategies that have positive alphas.
• C) Portfolios containing firms with the highest realized returns over the previous six months tend to 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.

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