which of the following statements is FALSE?

a When considering portfolios formed based on the market-to-book ratio, most of the portfolios plot below the security market line.

b When considering portfolios formed based on size, although the portfolios with the higher betas yield higher returns, most size portfolios plot above the security market line.

c The largest alphas occur in the smallest size deciles.

d The size effect is the observation that small stocks have positive alphas.