Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
There is an exact linear relation between expected returns and true 'betas' when the market portfolio is on the ex ante mean-variance efficient frontier but empirical research has found little relation between sample mean returns and estimated betas. A possible explanation is that market portfolio proxies are mean-variance inefficient. The authors categorize proxies that produce particular relations between expected returns and true betas. For the special case of a zero relation, a market portfolio proxy must lie inside the efficient frontier but it may be close to the frontier. Copyright 1994 by American Finance Association.