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| Author: | Zhou, G. |
| Title: | Small sample tests of portfolio efficiency |
| Journal: | Journal of Financial Economics
1992 : NOV, VOL. 30:1, p.165-191 |
| Index terms: | PORTFOLIO MANAGEMENT ECONOMIC EFFICIENCY TESTS RANDOM SAMPLE PRICING LINEAR MODELS MODELS |
| Language: | eng |
| Abstract: | An eigenvalue test of the efficiency of a portfolio is presented when there is no riskless asset. Besides optimal upper and lower bounds, an easily-implanted numerical method is provided for computing the exact P-value. The approach makes it possible to draw statistical inferences on the efficiency of a given portfolio both in the context of the zero-beta CAPM and with respect to other linear pricing models. As an application, using monthly data for every consecutive five-year period from 1926 to 1986, the efficiency of the CRSP value-weighted index for most periods is rejected. |
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