12 Which of the following statements is false 2 ) Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient b ) The size effect is the observation that firms with high book - to - market ratios have positive alphas . ( ) If the market portfolio is not efficient , then a portfolio of high book - to - market stocks will likely have positive alphas 1 ) Portfolios with low book - to market ratios will have negative alphas if the market portfolio is not efficient e ) None of the above 13 ) KD Industries' stock is currently trading at $32 per share . Consider a put option on KD stock with a strike price of $30 . The maximum value of this put option is : a ) so b ) $32 ( ) 530 d ) 52 e ) None of the above