@article{Severini_2015, title={A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market}, volume={4}, url={https://reunido.uniovi.es/index.php/EBL/article/view/10870}, DOI={10.17811/ebl.4.4.2015.175-182}, abstractNote={<p>A key assumption of the Capital Asset Pricing Model is that the market portfolio is efficient; when it is inefficient, , the difference between the expected excess return of the asset and the value predicted by the CAPM, is non-zero. In this paper, a simple bound on  is given that depends on the efficiency of the market portfolio. Alternatively, the impact of inefficiency may be viewed in terms of its effect on , the coefficient of the expected market return in the CAPM. A simple bound on the difference between , based on an inefficient market portfolio, and , based on an efficient portfolio, is also given. These results are used to assess the impact of portfolio constraints.</p>}, number={4}, journal={Economics and Business Letters}, author={Severini, Thomas A.}, year={2015}, month={Dec.}, pages={175–182} }