Which of the following empirical findings would cast doubt on the validity of the capital asset pricing model? I. The momentum factor (UMD) has a positive and significant CAPM alpha. II. The slope of the empirical security market line is smaller than the market risk premium of 6% while the riskless rate is 2%. 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. O A. I and III O B. Only II O C. Only I O D. I and