THE TESTING OF AUSTRALIAN STOCK MARKET INDICES FOR MEAN-VARIANCE EFFICIENCY |
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Authors: | Michael Stokie |
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Abstract: | Three different market indices are tested for mean-variance efficiency using monthly data for leading Australian securities, and following the methodologies suggested in Roll (1979). The balance of the evidence is against index efficiency and against the two-parameter asset pricing theory. However, this could be influenced by imperfections in the tests, inadequate data, and sampling errors in the betas. |
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