Which of the following statements is FALSE? A.The book-to-market is the observat

ID: 2779107 • Letter: W

Question

Which of the following statements is FALSE?

A.The book-to-market is the observation that firms with high book-to-market ratios have positive alphas.

B.Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient.

C.Portfolios with low book-to-market rations will have negative alphas if the market portfolio is not efficient.

D.If the market portfolio is not efficient, then a portfolio of high book-to-market stocks will likely have positive alphas.

A.The book-to-market is the observation that firms with high book-to-market ratios have positive alphas.

B.Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient.

C.Portfolios with low book-to-market rations will have negative alphas if the market portfolio is not efficient.

D.If the market portfolio is not efficient, then a portfolio of high book-to-market stocks will likely have positive alphas.

B.Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient.

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