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I only have a very general theory-based knowledge on Jensen's Alpha. I'm very curious about Capital Asset Pricing Model with intercept at 0. May I know what is the intuition behind this? What does it indicates actually, and why it needs to be 0?

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Jensens $\alpha$ stays for return or risk premia, which the asset pays when all factor returns are zero. The $\alpha$ hence tells you if you were rewarded accordingly to the risk taken. If $\alpha$ is zero then you were rewarded fairly for the risk taken (compared to the market), when its negative you earned too little for the risk taken and when its positive you earned more than the risk taken. Now the question is if you are actually addressing the return of the asset or the excess return of the asset over the risk free rate. In the first case the $\alpha$ most naturally corresponds to the risk free rate. In the latter case in my understanding $\alpha$ needs to be zero such that the market is efficient.

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