Choose the Wrong Statement.

Group of answer choices

A. None.

B. The self-financing portfolio made from high minus low book-to-market stocks is called the high-minus-low portfolio.

C. The Fama-French factor specification was identified a little more than ten years ago. Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM.

D. A trading strategy that each year short sell portfolio small stocks and uses this position to buy portfolio B (big stocks) has produced positive risk adjusted returns historically. This self-financing portfolio is widely known as the small minus big portfolio.

E. Because expected returns are not easy to estimate, each portfolio that is added to a multi-factor model increases the difficulty to implement the model.