TY - JOUR
T1 - Market portfolio efficiency and value stocks
AU - Post, Thierry
AU - Van Vliet, Pirn
N1 - Funding Information:
9 Thierry Post, Department of Finance, Erasmus University Rotterdam. P.O. Box 1738, 3000 DR, Rotterdam, The Netherlands, [email protected]; Pim van VIict, ERIM, Erasmus University Rotterdam. The Netherlands, P.O. Box 1738, TI-Room H16-22, 3000 DR Rotterdam, [email protected]. This study forms part of a research program on stochastic dominance. Details on the program are available at http://www.fcw.cur.nVfcw/people/gtpost/stochastic_dorninancc.hUn.W c appreciate the comments of an anonymous rcfcrcc.T he financial support of Tinbcrgen Institute,E rasmus Research Instituteo f Management, and Erasmus Center of Financial Research is gratefully acknowledged. Any remaining errors arc the authors' responsibility.
PY - 2004
Y1 - 2004
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 - https://www.scopus.com/pages/publications/77951882023
UR - https://www.scopus.com/pages/publications/77951882023#tab=citedBy
U2 - 10.1007/BF02751734
DO - 10.1007/BF02751734
M3 - Article
AN - SCOPUS:77951882023
SN - 1055-0925
VL - 28
SP - 300
EP - 306
JO - Journal of Economics and Finance
JF - Journal of Economics and Finance
IS - 3
ER -