The study shows that when the market return is based on the equilibrium returns of the CAPM, the expected returns of an asset are influenced by the risks of all assets together. This means that the possible market returns are limited and rely on how assets are distributed in the market portfolio. In a well-diversified market with no dominant asset, the return will be zero, while in a market dominated by a few assets, the return will be the risk-free rate. When assets are divided into tiny pieces, we get back to the regular CAPM properties.