On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension

This paper extends Kandel's [3] analysis of the testability of the mean-variance efficiency of a market index when the return on some component of the index is not perfectly observable. In addition to information about the mean and variance of the missing asset, considered by Kandel, we explore the usefulness of information about the beta of the missing asset on the observed sub-portfolio in an economy with a riskless asset. The results are somewhat more supportive of the notion that mean-variance efficiency is testable on a subset of the assets.     

A Comparative Study of Gini's Mean Difference and Mean Variance in Portfolio Analysis

The methods traditionally used for comparing uncertain prospects are the mean variance and the stochastic dominance approaches. Yitzhaki has recently presented an alternative model based upon Gini's mean difference to compare uncertain prospects. The mean Gini model is similar in nature to the mean variance model in that it uses a two-parameter statistic to describe the probability distribution of risky returns. Theoretically, the mean Gini model is consistent with the behaviour of investors under conditions of uncertainty for a wider class of probability distributions. Thus Gini's mean difference appears to be more adequate than variance as a measure of risk. This study firstly generated the mean Gini efficient frontier and secondly compared the mean variance efficient frontier with it. For the sample data employed, the mean variance model gave a very good approximation to the mean Gini model. Since the computational costs of the mean variance approach were a small fraction of those of the mean Gini approach, the theoretical advantage would not appear in this case to translate into a practical one.     

Efficiency Tests of the Foreign Currency Options Market

Based on a new options transactions data base from the Philadelphia Stock Exchange Foreign Currency Options Market, this paper examines the importance of the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests. The tests conducted are based on the transaction cost adjusted early exercise and put-call parity pricing boundaries applicable to the American foreign currency options market. The test results show that the put-call parity boundary tests are sensitive to both nonsynchronous prices and transaction costs. The early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price. Under the no-transaction costs scenario, a large number of early exercise boundary violations is found even when simultaneous spot and option prices are used. These violations disappear when actual transaction costs are taken into account.     

Market Efficiency and Money Market Fund Portfolio Managers: Beliefs Versus Reality

This paper develops two models of the money market mutual fund maturity decision. The first assumes that markets are efficient but that transactions are costly. The second model relies on a survey of fund managers to select variables that might permit exploiting perceived profit opportunities. Empirical tests provide strong support for the former model, but none for the latter. This can be interpreted as meaning that although managers may believe that financial markets are inefficient, margins are too small and competition too fierce for them to react aggressively on those beliefs. Any actions they do take to exploit alleged inefficiencies are not detectable in the data. In addition, the study finds that managers in the aggregate have no special ability to adjust their funds' maturity to capitalize on interest-rate changes.     

Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets

We use the multiple variance-ratio test of Chow and Denning (1993) to examine the stochastic properties of local currency- and US dollar-based equity returns in 15 emerging capital markets. The technique is based on the Studentized Maximum Modulus distribution and provides a multiple statistical comparison of variance-ratios, with control of the joint-test's size. We find that the random walk model is consistent with the dynamics of returns in most of the emerging markets analyzed, which contrasts many random walk test results documented with the use of single variance-ratio techniques. Further, a runs test suggests that most of the emerging markets are weak-form efficient. Overall, our results suggest that investors are unlikely to make systematic nonzero profit by using past information in many of the examined markets, thus, investors should predicate their investment strategies on the assumption of random walks. Additionally, our results suggest exchange rate matters in returns' dynamics determination for some of the emerging equity markets we analyzed.     

Learning, Asset-Pricing Tests, and Market Efficiency

This paper studies the asset-pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash-flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.     

On Viable Diffusion Price Processes of the Market Portfolio

The assumption that the market portfolio follows a specified diffusion process implies, in a simple equilibrium framework, that the representative individual must have a certain utility function which is identified in the paper. Not every diffusion process is viable, i.e., can be “endogenized” to be the market portfolio's price process in such an equilibrium model. The paper provides necessary and sufficient conditions for viability which imply that viable diffusion processes constitute a rather restricted family.     

金融市场有效性联立检验的再检验

在理性预期假定下,基于证券历史价格和收益信息,不能预测证券的未来价格,即市场是弱有效的。对市场有效性检验无效可能是关于基本价格或者正常收益均衡模型设定有误所导致,借助C-CAPM与行为金融模型可以对"市场无效性"进行解释。研究表明,市场有效性假说仅为一个理想范式,无论从有效性的联立检验角度,还是从非理性投资与金融市场关系的角度,都无法对现实的金融市场是否有效做出明确的判断。     

Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

This paper theoretically evaluates the robustness of the Security Market Line relationship when the market proxy employed is not mean-variance efficient. The analysis focuses on the behavior of the “benchmark errors,” the deviations of assets and portfolios from the Security Market Line. First, we characterize how the location of an asset in mean-variance space determines its benchmark error. Then the continuity properties of the benchmark errors are studied. The results indicate that the magnitudes of the errors exhibit continuous but not uniformly continuous behaviors. The relative rankings based on deviations from the Security Market Line, however, exhibit some severe discontinuities. In fact, these can be exactly reversed for two proxies arbitrarily close in mean-variance space.     

On Market Efficiency and Financial Accounting

It can be observed that heroin is used but this does not permit one to validly conclude that it is useful.     

Mean-Gini,Portfolio Theory,and the Pricing of Risky Assets

This paper presents the mean-Gini (MG) approach to analyze risky prospects and construct optimum portfolios. The proposed method has the simplicity of a mean-variance model and the main features of stochastic dominance efficiency. Since mean-Gini is consistent with investor behavior under uncertainty for a wide class of probability distributions, Gini's mean difference is shown to be more adequate than the variance for evaluating the variability of a prospect. The MG approach is then applied to capital markets and the security valuation theorem is derived as a general relationship between average return and risk. This is further extended to include a degree of risk aversion that can be estimated from capital market data. The analysis is concluded with the concentration ratio to allow for the classification of different securities with respect to their relative riskiness.     

Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests

This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single-equation cointegration test proposed by Phillips and Ouliaris [19], and the Johansen [12] 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use of these updated techniques and a global data set, the authors are able to more carefully test for the presence of cointegrating relationships and examine the consistency of the results in three trading locations. The results are quite consistent across locations and are highly supportive of efficiency in the global foreign exchange market.     

论资产评估中的市场价值

资产评估中的市场价值是国际评估界普遍接受的概念,而我国对这一理论的研究却重视不够.文章提出市场价值是一种严格定义且在理想状态下的价值、是交易假设条件下与资产最佳用途对应的价值、是市场化的价值.文章同寸还阐述了这一概念在资产评估中的意义及我国的研究现状.     

Portfolio Construction for Tests of Asset Pricing Models

Portfolios are commonly used in finance literature to study asset‐pricing models. In business practice portfolios are used to detect abnormal performance in certain asset groups or to construct reference assets. However, analyses on practical issues related to portfolio construction are surprisingly few. This paper presents and discusses issues related to portfolio return calculation from theoretical and practical perspectives. Special attention is given both to smaller and emerging stock markets. These stock markets often share common features like low liquidity, multiple stock series, and changes in foreign ownership restrictions that greatly affect portfolio construction.     

Short Sales Restrictions and Kinks on the Mean Variance Frontier

With a short sales restriction, there may be switching points along the mean variance frontier corresponding to changes in the set of assets held. Traditional wisdom holds that each switching point corresponds to a kink, while Ross has claimed that kinks never occur. This paper shows that the truth lies between the two views, since the efficient frontier may or may not be kinked at a switching point. There is some indication that kinks are rare, since a kink corresponds to a portfolio in which all assets have the same expected return.     

商业银行理财与金融市场效率研究

近年来迅速发展的中国银行理财市场属于金融创新的范畴,银行理财产品正在遭遇的"质疑之春"引起了社会各界的高度关注,如何看待这些发展中的问题,需要经济理论的思考.本文在一个基础性理论框架内,从金融市场效率的角度,给出了一些经济理论的解释和建议.     

中国证券市场监管效率研究

根据证券监管的中间目标和最终目标可以建立证券市场监管效率的指标体系,本文通过对各项指标(如证券市场的发展和运行情况,市场内各类参与主体受到监管的影响等)的具体分析来研究中国证券市场的监管是否有效。结论是中国证券市场监管的效率与市场发展的要求还存在明显的差距。     

基于Copula-VaR的金融资产组合风险测度研究

引入Copula函数来改进传统的VaR方法,构建出Copula-VaR模型。通过蒙特卡罗模拟实证金融资产组合收益的各种VaR值,结果表明,Copula-VaR模型能够更精确地测度出金融资产组合的在险价值风险。