Which of the following statements is FALSE? A) Because expected returns are not easy to estimate, each portfolio that is added to a multifactor model increases the difficulty of implementing the model B} The self-financing portfolio made from high minus low book-to-market stocks is called the high-minus-low (HML) portfolio C) The FFC factor specification was identified a little more than ten years ago Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM. D) A trading strategy that each year buys portfolio S (small stocks) and finances this position by short selling portfolio B (big stocks) has produced positive risk adjusted returns historically. This self-financing portfolio is widely known as the small minus big (SMB) portfolio E) None of the above tv A @ MICBOOK PRO 5 6 7 00 0 R 7 Y U o F G H . N M