Which of the Following Statements Is False

Which of the following statements is false?

A) Because of the higher and uncompensated risk involved, no investor should choose a portfolio with a negative alpha.
B) Because the average portfolio of all investors is the market portfolio, the average alpha for all investors is zero.
C) The market portfolio can be inefficient if a significant number of investors misinterpret information and believe they are earning a positive alpha when they are actually earning a negative alpha.
D) If no investor earns a positive alpha, then no investor can earn a negative alpha, and the market portfolio must be efficient.