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 intercept 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 a significantly negative intercept estimate.

A$.$

Only I

B$.$

I and II

C$.$

Only II

D$.$

I and III