| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4702 |
| 来源ID | Working Paper 4702 |
| Portfolio Inefficiency and the Cross-Section of Expected Returns | |
| Shmuel Kandel; Robert F. Stambaugh | |
| 发表日期 | 1994-04-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially any desired values. The mean-variance location of the index does determine the properties of a cross- sectional mean-beta relation fitted by generalized least squares (GLS). As the index portfolio moves closer to exact efficiency, the GLS mean-beta relation moves closer to the exact linear relation corresponding to an efficient portfolio with the same variance. The goodness-of-fit for the GLS regression is the index portfolio's squared relative efficiency, which measures closeness to efficiency in mean-variance space. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4702 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562096 |
| 推荐引用方式 GB/T 7714 | Shmuel Kandel,Robert F. Stambaugh. Portfolio Inefficiency and the Cross-Section of Expected Returns. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4702.pdf（236KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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