Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
Материалы статьи используются в книге
Брейли и Майерса "Принципы корпоративных финансов"