A cross-sectional regression test of the mean-variance efficiency of an Australian value weighted market portfolio
Article Abstract:
This paper tests the Mean-Variance efficiency of a value weighted Australian market portfolio using a multivariate cross-sectional regression approach developed by Shanken (1985). This test methodology is sufficiently powerful to reject the null hypothesis that the market portfolio is ex ante Mean-Variance efficient when test assets are constructed on the basis of size (market capitalization). HOwever, when test assets are constructed on the basis of industry classification the model is unable to reject the Mean-Variance efficiency of the market portfolio. This test static provides some useful diagnostics which are examined in the paper. (Reprinted by permission of the publisher.)
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 1991
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The case for mandatory municipal disclosure: do seasoned municipal bond yields impound publicly available information?
Article Abstract:
The special features of the municipal bond market are discussed and the issue of whether the adequacy of currently available public information affects the pricing of seasoned municipal bonds is examined. While results show that information on municipal bond quality is used in pricing such bonds, a gap exists between this secondary market and a truly efficient market based upon the availability of huge quantities of timely information.
Publication Name: Journal of Accounting and Public Policy
Subject: Business
ISSN: 0278-4254
Year: 1992
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