Template-Type: ReDIF-Paper 1.0
Author-Name: Post, G.T.
Author-Name-Last: Post
Author-Name-First: Thierry
Title: Asset prices and omitted moments; A stochastic dominance analysis of market efficiency
Abstract: We analyze if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and industry classification. During the period from the mid-1970s to the late 1980s, the market portfolio is significantly mean-variance inefficient. During this period, the market portfolio generally also is significantly SSD inefficient. This suggests that mean-variance inefficiency cannot be explained by omitted return moments like higher-order central moments or lower partial moments.
Creation-Date: 2003-06-13
File-URL: https://repub.eur.nl/pub/430/ERS-2003-017-F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2003-017-F&A
Classification-JEL: C19, G12, G3, M, M41
Keywords: asset pricing, market efficiency, size and book-to-market effects, statistical inference, stochastic dominance
Handle: RePEc:ems:eureri:430