The Arbitrage Pricing Theory provides a theory to quantify risk and thereward for taking it. While the theory itself is sound from most perspectives, its empirical version is connected with several shortcomings. One extremely delicate problemarises because the set of observable asset returns rarely has a history of complete observations. Traditionally, this problem has been solved by simply excluding assets withouta complete set of observations from the analysis. Unfortunately, such a methodologymay be shown to (i) lead for any fixed time period to selection bias in that only thelargest companies will remain and (ii) lead to an asymptotically empty set containingno observations at all. This paper discusses some possible solutions to this problemand also provides a case study containing Swedish OMX data for demonstration.