Your roommate is an active stock picker. As a result, her portfolio is not well-diversified. She claims that markets are inefficient and she can identify mispricings. Suspicious of her claim, you use the CAPM to test her portfolio's returns for alpha. You find a positive alpha of 0.5% with a p-value of 0.01. Does this alpha support the claim that markets are inefficient? a. Yes, because positive alphas can only be attained through identifying mispriced stocks. b. Yes, because the p-value says that the 0.5% alpha only occurs by chance 1% of the time. c. No, because the 0.5% alpha is compensation for her risk exposure of having an under-diversified portfolio. d. No, because the 0.5% alpha is compensation for un-modeled systematic risk