Portfolio Inefficiency and the Cross-Section of Expected Returns

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially any

预期收益与贝塔（beta）的散点图，与无效指数投资组合的均值-方差位置几乎不存在关联。若该指数投资组合无效，则通过对预期收益与贝塔进行普通最小二乘（ordinary-least-squares）回归得到的系数与决定系数R²，理论上可取任意值。