Which of the following outcome(s) are most likely to be inconsistent with the efficient market hypothesis in a Fama-French three-factor world? Why?
A. All stocks have the same return on average
B. Higher market beta stocks have higher returns
C. Small and value stocks on average have higher returns than large and growth stocks.
D. Even though DFA recently offered small and value portfolios, which focus on earning the high returns in small and value firms, investors do not feel such stock portfolios offer more attractive investment opportunities in terms of risk-return tradeoff than other stock portfolios.