Consider the merger arbitrage strategy that delivers positive average excess returns. Companies who announce a merger typically experience an upward jump in their stock price. The merger arbitrage strategy exploits the average positive price drift from the time a merger is announced to the time it is completed. In rare occasions, the merger fails and the stock price goes back to where it was before the merger announcement. Which of the following statements regarding the merger arbitrage strategy is correct? A. If merger failures are more likely in times of economy-wide crises, then the strategy's average returns are due to investors' behavioral biases. B. The fact that there is a post-announcement drift in the price is proof for market inefficiency. C. The strategy is market-neutral as typically promised by hedge funds. O D. A hedge fund that exploits merger arbitrage may not earn higher returns than predicted by the risk it takes