Which of the Following Statements Is FALSE

question 55

Multiple Choice

Which of the following statements is FALSE?

• A)Portfolios with high market capitalizations must have positive alphas if the market portfolio is not efficient.
• B)The book-to-market 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 must have zero alphas if the market portfolio is efficient.