Explain why you might expect stocks to have nonzero alphas if the market proxy portfolio is not highly correlated with the true market portfolio, even if the true market portfolio is efficient ...

To conclude we can say that because the proxy po ...

Explain why you might expect stocks to have nonzero alphas if the market proxy portfolio is not

Question:

Explain why you might expect to have nonzero alphas if the market proxy is not highly correlated with the true market even if the true market is efficient?
Stocks
Stocks or shares are generally equity instruments that provide the largest source of raising funds in any public or private listed company's. The instruments are issued on a stock exchange from where a large number of general public who are willing... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...