The book-to-market is the observation that firms with high


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.

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Financial Management: The book-to-market is the observation that firms with high
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