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9 A summary: the evidence on managed portfolio performance and market efficiency.(Portfolio Performance Evaluation)
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Foundations and Trends in Finance
- Article date:
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April 1, 2006
- Author:
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;
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Copyright informationCOPYRIGHT 2006 Now Publishers, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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The evidence on the performance of professionally managed portfolios relates to the classical question of the informational efficiency of the markets, as summarized by Fama (1970). This section first describes how these ideas are related and then presents some tables that summarize the empirical evidence.
9.1 Market Efficiency and Portfolio Performance
As emphasized by Fama (1970), any analysis of market efficiency involves a "joint hypothesis." There must be an hypothesis about the model for equilibrium expected returns and also an hypothesis about the informational efficiency of the markets. These can be described using the representation for asset pricing models in ...
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