Which of the following empirical findings would cast doubt on the validity of the capital asset pricing model? 1. The momentum factor (UMD) has a positive and significant CAPM alpha. II. The slope of the empirical security market line is equal to the riskless rate of 2% while the market risk premium is 6%. III. A time-series regression of a mutual fund's monthly excess returns on the market excess returns results in an intercept estimate of zero. A. I and II B. I and III O C. Only I O D.Only