Stocks with high book-to-market ratios at the start of a period (value stocks) consistently have positive Jensen's alphas over that period. Which of the following statements is not possible given this finding? A. CAPM holds and the market is semistrong form efficient. B. CAPM holds and the market is not semistrong form efficient. C. A multifactor model holds and the market is semistrong form efficient. D. A multifactor model holds and the market is not semistrong form efficient. E. Both A and D