6) Which of the following statements is false?

A) If alphas are positive, it is possible that the positive alpha trading strategies contain risk that investors are unwilling to bear but that the CAPM does not capture.

B) If alphas are positive, it is possible that the costs of implementing investment strategies are larger than the NPVs of undertaking them.

C) If alphas are negative, then investors have to be systematically ignoring positive-NPV investment opportunities.

D) The only way a positive-NPV investment opportunity can exist in a market is if some barrier to entry restricts competition.

Answer:

Explanation:

7) Which of the following statements is false?

A) The existence of the momentum trading strategy has been widely known for at least ten years.

B) The information required to implement a momentum strategy is not readily available to investors.

C) If the market portfolio is not efficient, then a stock's beta with the market is not an adequate measure of its systematic risk.

D) If the market portfolio is not efficient, then the so-called profits from a positive alpha trading strategy are really returns for bearing risk that investors are averse to and the CAPM doesn't capture.

Answer:

Explanation:

8) Which of the following statements is false?

A) A significant fraction of investors might care about aspects of their portfolios other than expected return and volatility, and so would be unwilling to hold inefficient investment portfolios.

B) Although the true market portfolio of all invested wealth might be efficient, the proxy portfolio might not track the actual market very well.

C) We might be using the wrong proxy portfolio when we calculate alphas.

D) The true market portfolio consists of all traded investment wealth in the economy.

Answer:

Explanation: