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Which of the following statements is FALSE? OA. In one study, portfolios containing firms with the highest realized returns over the previous 6-12 months had positive alphas over the next 3 - 12 months OB. Over the years since the discovery of the CAPM it has become increasingly clear to researchers and practitioners alike that when forming portfolios based on market capitalization book-to-market ratios, and past returns, one can construct trading strategies that have a positive alpha f the market portfolio is not efficient, then a portfolio of small stocks will likely have positive alphas OD. A momentum strategy is one where you buy stocks that have had low past returns and short sell stocks that have had high past returns O