Which of the Following Statements Is FALSE

question 73

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