Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
Bibliographic Data
| ID | 19419481 |
|---|---|
| Authors | Sofia Anyfantaki (0000-0002-5449-4996, Economic Analysis & Research Department, Bank of Greece, Athens, Greece), Esfandiar Maasoumi (Emory University, corresponding author), Jue Ren (0000-0002-0125-9976, Texas Christian University), Nikolas Topaloglou (0000-0002-2187-0748, Athens University of Economics and Business) |
| Year | 2022 |
| Volume | 40 |
| Issue | 3 |
| Pages | 937-949 |
| Publication date | 2022-07-03 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2021.1888741 |
| OpenAlex | W3133403815 |
| Language | EN |
| Citations received | 1 |
| References cited | 42 |
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an analytical characterization of stochastic uniform inefficiency. We give the limit distribution for the empirical test statistic, and present a practical implementation with block bootstrap for consistent estimation of p-values. Our test is asymptotically exact and performs well in Monte Carlo experiments
Capital asset pricing model · Econometrics · Economics · Empirical distribution function · Financial economics · Inefficiency · Market portfolio · Mathematical optimization · Monte Carlo method · Null hypothesis · Portfolio · Statistic · Statistical hypothesis testing · Statistics · Stochastic dominance · Test statistic · Financial Markets and Investment Strategies · Housing Market and Economics · Mathematics · Monetary Policy and Economic Impact
| Citations per year | 1 |
|---|---|
| Citation span | 2025 - 2025 (1) |
| Highly cited | No |