Are the market indexes efficient portfolios? The Spanish case of IBEX-35
In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and I...
| Autor Principal: | González Sánchez, Mariano; Universidad CEU Cardenal Herrera |
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| Otros Autores: | Nave Pineda, Juan Miguel; UNIVERSIDAD DE CASTILLA LA MANCHA |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Pontificia Universidad Javeriana
2014
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| Materias: | |
| Acceso en línea: |
http://revistas.javeriana.edu.co/index.php/cuadernos_admon/article/view/7186 |
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| Sumario: |
In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and II errors, for both gaussian and non-gaussian behavior. The results on Spanish market index (IBEX-35) show that optimal portfolios may be more efficient than the IBEX-35 with fewer assets, which under a non-Gaussian test are exceeded and, without exhibiting the usual problem of market risk premiums not positive. |
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