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

D.The largest alphas occur in the smallest size deciles.