Which of the following statements is false a ) Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient . b ) The size effect : is the observation that firms with high book - to market ratios have positive alphas . ( ) If the market portfolio is not efficient , then a portfolio of high book - to -market stocks will likely have positive alphas 1 ) Portfolios with low book - to market ratios will have negative alphas if the market portfolio is not efficient . None of the above