Question
Which of the following statements is FALSE ? a Portfolios containing firms with the highest realized returns over the previous six months have positive alphas
Which of the following statements is FALSE?
a | Portfolios containing firms with the highest realized returns over the previous six months have positive alphas over the next six months. | |
b | Over the years since the discovery of the CAPM, it has become increasingly clear to researchers and practitioners alike that forming portfolios based on market capitalization, book-to-market ratios, and past returns, one can construct trading strategies that have a positive alpha. | |
c | A momentum strategy is one where you buy stocks that have had low past returns and (short) sell stocks that have had high past returns. | |
d | An efficient portfolio cannot be diversified further, that is there is no way to reduce the risk of the portfolio without lowering its expected return. |
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