Which of the Following Statements Is FALSE

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 when forming portfolios based on market capitalization,book-to-market ratios,and past returns,one can construct trading strategies that have a positive alpha.
C) In one study,portfolios containing firms with the highest realized returns over the previous 6-12 months had positive alphas over the next 3-12 months.
D) If the market portfolio is not efficient,then a portfolio of small stocks will likely have positive alphas.