Perhaps the most frequently used estimator of the Capital Asset Pricing Model beta in finance is the Ordinary Least Squares estimate, obtained by regressing excess security return against excess market return, with an intercept. This paper shows that the Ordinary Least Squares estimator is...

To price assets with a parsimonious set of factor mimicking portfolios, one typically identifies and weights well-diversified basis portfolios. Traditional weightings lead to factor mimicking portfolios that are unlikely to price even the basis portfolios they are formed from. We offer a method...