Portfolios with high market capitalizations

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Reference no: EM131048695

Which of the following statements is false?

A) Portfolios with high market capitalizations will 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 rations will have negative alphas if the market portfolio is not efficient.

Reference no: EM131048695

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