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The Effect Of Market Proxy Rebalancing Policies On Detecting Abnormal Performance

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  • Terry L Zivney
  • Donald J. Thompson II

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  • Terry L Zivney & Donald J. Thompson II, 1989. "The Effect Of Market Proxy Rebalancing Policies On Detecting Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 293-299, December.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:4:p:293-299
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1989.tb00523.x
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    References listed on IDEAS

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    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. Marshall Blume & Robert Stambaugh, "undated". "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
    3. Reinganum, Marc R, 1982. "A Direct Test of Roll's Conjecture on the Firm Size Effect," Journal of Finance, American Finance Association, vol. 37(1), pages 27-35, March.
    4. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
    5. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    6. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-888, September.
    7. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    8. Jobson, J D & Korkie, Bob, 1984. "On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 245-251, March.
    9. Cheng, Pao L & Deets, M King, 1971. "Portfolio Returns and the Random Walk Theory," Journal of Finance, American Finance Association, vol. 26(1), pages 11-30, March.
    10. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    11. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-567, June.
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