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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