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According to the evidence provided in class, which of the following portfolios is likely to have had the highest CAPM alpha over the past forty

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According to the evidence provided in class, which of the following portfolios is likely to have had the highest CAPM alpha over the past forty years? A portfolio of large-cap stocks A portfolio of stocks with low book-to-market ratios A portfolio of stocks with high returns over the previous two months A portfolio of stocks with low CAPM betas

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