Portfolio Inefficiency and the Cross‐section of Expected Returns
证明资本资产定价模型中市场组合有效性与预期收益对贝塔的线性关系可以近乎完美地成立其一而另一严重失效，并分析指数组合无效时最小二乘回归系数与指数组合均值-方差位置的关系。
ABSTRACT The Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients and from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean‐variance location. That location does determine the outcome of a mean‐beta regression fitted by generalized least squares.