The CAPM regression is typically interpreted as if the market return contemporaneously causes individual returns, motivating beta-neutral portfolios and factor attribution. For realized equity returns, however, this interpretation is inconsistent: a same-period arrow R₌, ₓ R₈, ₓ conflicts with the fact that Rₘ is itself a value-weighted aggregate of its constituents, unless Rₘ is lagged or leave-one-out -- the ``aggregator contradiction. '' We formalize CAPM as a structural causal model and analyze the admissible three-node graphs linking an external driver Z, the market Rₘ, and an asset Rᵢ. The empirically plausible baseline is a fork, Z \Rₘ, Rᵢ\, not Rₘ Rᵢ. In this setting, OLS beta reflects not a causal transmission, but an attenuated proxy for how well Rₘ captures the underlying driver Z. Consequently, ``beta-neutral'' portfolios can remain exposed to macro or sectoral shocks, and hedging on Rₘ can import index-specific noise. Using stylized models and large-cap U. S. \ equity data, we show that contemporaneous betas act like proxies rather than mechanisms; any genuine market-to-stock channel, if at all, appears only at a lag and with modest economic significance. The practical message is clear: CAPM should be read as associational. Risk management and attribution should shift from fixed factor menus to explicitly declared causal paths, with ``alpha'' reserved for what remains invariant once those causal paths are explicitly blocked.
Noal Cohen (Sat,) studied this question.