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Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

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  • Green, Richard C

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  • Green, Richard C, 1986. "Benchmark Portfolio Inefficiency and Deviations from the Security Market Line," Journal of Finance, American Finance Association, vol. 41(2), pages 295-312, June.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:295-312
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    Cited by:

    1. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
    2. Murthi, B. P. S. & Choi, Yoon K. & Desai, Preyas, 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 98(2), pages 408-418, April.
    3. Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
    4. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
    5. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
    6. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
    7. Thomas A. Severini, 2015. "A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market," Economics and Business Letters, Oviedo University Press, vol. 4(4), pages 175-182.
    8. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 97-130, May.
    9. Choi, Yoon K., 1995. "The sensitivity in tests of the efficiency of a portfolio and portfolio performance measurement," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 187-206.
    10. Juan-Pedro Gómez & Fernando Zapatero, 2001. "Asset pricing implications of benchmarking: A two-factor CAPM," Economics Working Papers 693, Department of Economics and Business, Universitat Pompeu Fabra.
    11. Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015. "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 213-227.
    12. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 225-235.
    13. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
    14. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    15. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2008. "Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 761-781, December.
    16. Wayne E. Ferson, 2013. "Ruminations on Investment Performance Measurement," European Financial Management, European Financial Management Association, vol. 19(1), pages 4-13, January.

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