Diacogiannis, George; Feldman, David - In: Quarterly Journal of Finance (QJF) 03 (2013) 01, pp. 1350004-1
Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...