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An Empirical Examination of Index Efficiency: Implications for Index Funds

Published online by Cambridge University Press:  06 April 2009

Richard C. Burgess  and
Bruce T. O'Dell
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 93 - 100
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

REFERENCES

[1]Belliveau, N. “Will Pension Officers Stop Trying to Beat the Market?” Institutional Investor (02 1976), pp. 18–23.Google Scholar
[2]Joy, O. M., and Porter, R. B.. “Stochastic Dominance and Mutual Fund Performance.” Journal of Financial and Quantitative Analysis, Vol. 10 (01 1975), pp. 25–31.Google Scholar
[3]Markowitz, H. M. “Portfolio Selection.” Journal of Finance, Vol. 6 (03 1952), pp. 77–91.Google Scholar
[4]Porter, R. B. “An Empirical Comparison of Stochastic Dominance and Mean Variance Portfolio Selection Criteria.” Journal of Financial and Quantitative Analysis, Vol. 8 (09 1973), pp. 586–608.Google Scholar
[5]Porter, R. B.; Wart, J. R.; and Ferguson, D. L.. “Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios.” Journal of Financial and Quantitative Analysis, Vol. 8 (01 1973), pp. 71–81.Google Scholar
[6]Sharpe, W. F. “Mutual Fund Performance.” Journal of Business, Vol. 39 (01 1966), pp. 119–138.CrossRefGoogle Scholar