Market portfolio efficiency and value stocks

Thierry Post, Pirn Van Vliet

Research output: Contribution to journalArticle

Abstract

In this journal. Best, Best, and Yoder (2000) recently demonstrated that portfolios of U.S. value stocks dominate portfolios of U.S. growth stocks in terms of second-order stochastic dominance (SSD). We cannot conclude from this finding that the market is SSD inefficient, however, 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.

Original languageEnglish
Pages (from-to)300-306
Number of pages7
JournalJournal of Economics and Finance
Volume28
Issue number3
Publication statusPublished - Sep 2004
Externally publishedYes

Fingerprint

Value stocks
Market portfolio
Stochastic dominance
Portfolio efficiency
Value effect
Growth stocks
Second-order stochastic dominance
Sampling

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Market portfolio efficiency and value stocks. / Post, Thierry; Van Vliet, Pirn.

In: Journal of Economics and Finance, Vol. 28, No. 3, 09.2004, p. 300-306.

Research output: Contribution to journalArticle

Post, Thierry ; Van Vliet, Pirn. / Market portfolio efficiency and value stocks. In: Journal of Economics and Finance. 2004 ; Vol. 28, No. 3. pp. 300-306.
@article{32396eadecda4ae59b1885cce7f9876c,
title = "Market portfolio efficiency and value stocks",
abstract = "In this journal. Best, Best, and Yoder (2000) recently demonstrated that portfolios of U.S. value stocks dominate portfolios of U.S. growth stocks in terms of second-order stochastic dominance (SSD). We cannot conclude from this finding that the market is SSD inefficient, however, 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.",
author = "Thierry Post and {Van Vliet}, Pirn",
year = "2004",
month = "9",
language = "English",
volume = "28",
pages = "300--306",
journal = "Journal of Economics and Finance",
issn = "1055-0925",
publisher = "Springer New York",
number = "3",

}

TY - JOUR

T1 - Market portfolio efficiency and value stocks

AU - Post, Thierry

AU - Van Vliet, Pirn

PY - 2004/9

Y1 - 2004/9

N2 - In this journal. Best, Best, and Yoder (2000) recently demonstrated that portfolios of U.S. value stocks dominate portfolios of U.S. growth stocks in terms of second-order stochastic dominance (SSD). We cannot conclude from this finding that the market is SSD inefficient, however, 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.

AB - In this journal. Best, Best, and Yoder (2000) recently demonstrated that portfolios of U.S. value stocks dominate portfolios of U.S. growth stocks in terms of second-order stochastic dominance (SSD). We cannot conclude from this finding that the market is SSD inefficient, however, 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.

UR - http://www.scopus.com/inward/record.url?scp=77951882023&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=77951882023&partnerID=8YFLogxK

M3 - Article

VL - 28

SP - 300

EP - 306

JO - Journal of Economics and Finance

JF - Journal of Economics and Finance

SN - 1055-0925

IS - 3

ER -