Which of the following statements is FALSE?

a.) The book-to-market is the observation that firms with high book-to-market ratios have positive alphas.

b.) If the market portfolio is not efficient, then a portfolio of high book-to-market stocks will likely have positive alphas.

c.) Portfolios with high market capitalizations will have positive alphas if the market portfolio is not efficient.

d.) Portfolios with low book-to-market rations will have negative alphas if the market portfolio is not efficient.