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Any test of market efficiency is also a test of the model that is used to estimate expected returns which in this case is the

"Any test of market efficiency is also a test of the model that is used to estimate expected returns which in this case is the CAPM".

We use an estimate of return to compare the expected return with the actual return and the difference is described as abnormal return.

Any estimate of expected return from the CAPM will impact upon the measured abnormal return.

So the question arises: are we estimating expected returns correctly?

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