SMALL SAMPLE TESTS OF PORTFOLIO EFFICIENCY
成果类型：
Article
署名作者：
ZHOU, G
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(91)90041-H
发表日期：
1991
页码：
165-191
关键词：
摘要：
This paper presents an eigenvalue test of the efficiency of a portfolio when there is no riskless asset, complementing the test of Gibbons, Ross, and Shanken (1989). Besides optimal upper and lower bounds, an easily-implented numerical method is provided for computing the exact P-value. Our 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, we reject the efficiency of the CRSP value-weighted index for most periods.
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