PORTFOLIO INEFFICIENCY AND THE CROSS-SECTION OF EXPECTED RETURNS

被引:96
作者
KANDEL, S [1 ]
STAMBAUGH, RF [1 ]
机构
[1] UNIV PENN,WHARTON SCH,PHILADELPHIA,PA 19104
关键词
D O I
10.2307/2329242
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we 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. That location does determine the outcome of a mean-beta regression fitted by generalized least squares.
引用
收藏
页码:157 / 184
页数:28
相关论文
共 21 条
[1]  
Amihud Y., 1992, FURTHER EVIDENCE RIS
[2]   A MONTE-CARLO INVESTIGATION OF THE ACCURACY OF MULTIVARIATE CAPM TESTS [J].
AMSLER, CE ;
SCHMIDT, P .
JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (03) :359-375
[3]   CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].
BLACK, F .
JOURNAL OF BUSINESS, 1972, 45 (03) :444-455
[4]   THE CROSS-SECTION OF EXPECTED STOCK RETURNS [J].
FAMA, EF ;
FRENCH, KR .
JOURNAL OF FINANCE, 1992, 47 (02) :427-465
[5]  
FAMA EF, 1976, F FINANCE
[6]   A TEST OF THE EFFICIENCY OF A GIVEN PORTFOLIO [J].
GIBBONS, MR ;
ROSS, SA ;
SHANKEN, J .
ECONOMETRICA, 1989, 57 (05) :1121-1152
[7]  
GRAUER RR, 1994, TESTS CAPITAL ASSET
[8]   MIMICKING PORTFOLIOS AND EXACT ARBITRAGE PRICING [J].
HUBERMAN, G ;
KANDEL, S ;
STAMBAUGH, RF .
JOURNAL OF FINANCE, 1987, 42 (01) :1-9
[9]  
JAGANNATHAN R, 1994, CONDITIONAL CAPM CRO
[10]   ON CORRELATIONS AND INFERENCES ABOUT MEAN VARIANCE EFFICIENCY [J].
KANDEL, S ;
STAMBAUGH, RF .
JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (01) :61-90