Which of the Following Statements Is FALSE

question 6

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 book-to-market 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.

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Definitions:

Total Sum of Squares

The sum of squared differences between each observation and the overall mean, a measure of total variation within a dataset.

Larger

In a statistical context, this could refer to a value or effect size that is greater in magnitude compared to another value or effect size.

Total SS

Stands for the total sum of squares in statistics, which measures the total variation in a dataset.

Coefficient of Determination

A statistical measure represented by R^2 that indicates the proportion of the variance in the dependent variable predictable from the independent variable(s).