Market Portfolio Efficiency and Value Stocks
نویسندگان
چکیده
In this journal, Best, Best and Yoder (2000) recently demonstrated that portfolios of US value stocks dominate portfolios of US growth stocks in terms of second-order stochastic dominance (SSD). However, we cannot conclude from this finding that the market is SSD inefficient, because market portfolio efficiency generally does not require growth portfolios to be efficient. Furthermore, stochastic dominance results are very sensitive to sampling error. In fact, the value-weighted market portfolio is not significantly inefficient and no significant value effects exist in the sample of Best, Best and Yoder. (JEL G140)
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تاریخ انتشار 2004