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 book-to-market is the observation that firms with high book-to-market ratios have positive alphas.
C) If the market portfolio is not efficient, then a portfolio of high book-to-market stocks will likely have positive alphas.
D) Portfolios with low book-to-market rations will have negative alphas if the market portfolio is not efficient.