Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) We should be suspicious of beta estimates that are extreme relative to industry norms.
B) When using historical data, there is always the possibility of estimation error.
C) Evidence suggests that betas tend to revert toward zero over time.
D) For stocks, common practice is to use at least two years of weekly return data or five years of monthly return data when estimating beta.