Which of the Following Statements Is False

Which of the following statements is false?

A) If the market portfolio is efficient, then all securities and portfolios must plot on the SML, not just individual stocks.
B) For most stocks the standard errors of the alpha estimates are large, so it is impossible to conclude that the alphas are statistically different from zero.
C) It is not difficult to find individual stocks that, in the past, have not plotted on the SML.
D) Small stocks (those with lower market capitalization) have lower average returns.