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.