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The Ex Ante Efficiency of Australian Stock Market Benchmarks

Author

Listed:
  • Frank Finn
  • Timo Koivurinne

Abstract

This paper tests the ex ante efficiency of Australian benchmark portfolios over the period 1980–1996. Indices commonly used as performance evaluation benchmarks were found to be ex ante inefficient when unrestricted short selling was allowed. However, when short selling was restricted, the ex ante efficiency of the benchmarks could not be rejected. Further, the mining/resource and property sectors were not performance-enhancing additions to investment in the industrial sector over the period examined. This has important implications for the performance evaluation of managed investment funds.

Suggested Citation

  • Frank Finn & Timo Koivurinne, 2000. "The Ex Ante Efficiency of Australian Stock Market Benchmarks," Australian Journal of Management, Australian School of Business, vol. 25(1), pages 1-16, June.
    • Handle: RePEc:sae:ausman:v:25:y:2000:i:1:p:1-16
    DOI: 10.1177/031289620002500103
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    References listed on IDEAS

    as
    1. Ray Ball & Philip Brown, 1980. "Risk and Return from Equity Investments in the Australian Mining Industry: January 1958 — February 1979," Australian Journal of Management, Australian School of Business, vol. 5(1-2), pages 45-66, April.
    2. Dybvig, Philip H & Ross, Stephen A, 1985. "The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-416, June.
    3. Ferson, Wayne E & Kandel, Shmuel & Stambaugh, Robert F, 1987. "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," Journal of Finance, American Finance Association, vol. 42(2), pages 201-220, June.
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