In the Fama�French three-factor model, the market return is not the return to market beta. By including a separate beta factor, the market portfolio without a coefficient can be described as only �half� a factor. Documenting the returns to a pure beta factor in the US equity market, the authors show that the distinction between the market return and the return to the cross-sectional variation in security betas also applies to portfolio performance measurement. The realized alphas of low-beta (high-beta) portfolios are reduced (increased) when a separate beta factor is included.
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