Which of the following cannot be true in a securities market that is characterized by semi-strong efficiency? A. The expected return of each security is not proportionate to its CAPM beta. In other words, the CAPM formula does not hold OB. Traders can reliably generate alpha by trading on information about future mergers before the mergers are announced C. Traders can reliably generate alpha using a trading strategy based on buying past winners and selling past losers A and B Band C A and C All of the above None of the Above In the MPT / CAPM setting: O A All securities lie on the CAL B. Increasing the number of assets in the portfolio can diversity away market risk C. If a security has a beta of 1, it means that it has the same amount of risk as the market as a whole A and B Band C A and C