  I demonstrate that with the market return determined by the equilibrium
returns of the CAPM, expected returns of an asset are affected by the risks of
all assets jointly. Another implication is that the range of feasible market
returns will be limited and dependent on the distribution of weights in the
market portfolio. A large and well diversified market with no dominating asset
will only return zero while a market dominated by a small number of assets will
only return the risk-free rate. In the limiting case of atomistic assets, we
recover the properties of the standard CAPM.
