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An Empirical Examination of Index Efficiency: Implications for Index Funds

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  • Burgess, Richard C.
  • O'Dell, Bruce T.

Abstract

Indexes are frequently used for a basis of comparison of the performance of different types of assets, such as mutual funds and common stocks. Sharpe [6] studied the performance of mutual funds over the period 1944 to 1963 and compared their performance to the Dow-Jones Industrial Average (DJIA) using the capital-asset pricing model. For this period he concluded that mutual funds were relatively inferior investments. Joy and Porter [2], using the stochastic dominance approach, reached conclusions similar to those of Sharpe for the 1954–1963 period.

Suggested Citation

  • Burgess, Richard C. & O'Dell, Bruce T., 1978. "An Empirical Examination of Index Efficiency: Implications for Index Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 93-100, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:93-100_00
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    Cited by:

    1. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.

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