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.
Correct Answer:
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