One of the major puzzles in finance is the reason why efficient securities market anomalies have continued to exist over time. Many researchers have shown that it is possible to achieve greater than market returns by exploiting these anomalies. The puzzle is why these anomalies continue to persist because investors are expected to rush in to exploit these opportunities for abnormal profits and arbitrage these anomalies away. Risk is one reason suggested by researchers to explain why these anomalies persist. Which of the following is consistent with the risk-based explanation of persistence of the anomalies?

Group of answer choices

a. Investment portfolios for exploiting anomalies only have systematic risk.

b. Investment strategies to exploit anomalies involve departures from portfolio diversification.

c. The beta risk of portfolios changes over time.

d. Only risk-averse investors invest in stocks in which mispricing exists.