search query: @author Kandel, S. / total: 15
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| Author: | Kandel, S. Stambaugh, R. |
| Title: | Portfolio inefficiency and the cross-section of expected returns |
| Journal: | Journal of Finance
1995 : MAR, VOL. 33:1, p. 157-184 |
| Index terms: | PORTFOLIO MANAGEMENT EFFICIENCY MANAGEMENT |
| Language: | eng |
| Abstract: | The Capital Asset Pricing Model implies that (1) the market portfolio is efficient and (2) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but the authors demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients and R 2 from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean-variance location. |
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