THE SENSITIVITY IN TESTS OF THE EFFICIENCY OF A PORTFOLIO AND PORTFOLIO PERFORMANCE-MEASUREMENT

Authors
CHOI YK
Citation
Yk. Choi, THE SENSITIVITY IN TESTS OF THE EFFICIENCY OF A PORTFOLIO AND PORTFOLIO PERFORMANCE-MEASUREMENT, The Quarterly review of economics and finance, 35(2), 1995, pp. 187-206
Citations number
31
Categorie Soggetti
Business Finance",Economics
Journal title
The Quarterly review of economics and finance → ACNP
ISSN journal
10629769
Volume
35
Issue
2
Year of publication
1995
Pages
187 - 206
Database
ISI
SICI code
1062-9769(1995)35:2<187:TSITOT>2.0.ZU;2-6
Abstract
A theoretical rationale and empirical evidence for the sensitivity of the test of the efficiency of a given portfolio (or the test of the CA PM if appropriately designed) are provided. Stock and bond data are em ployed as the 'left hand side' assets to show that a misspecification in the 'left-hand-side' (or LHS) assets may cause the sensitivity in t esting the efficiency of a given portfolio and the measurement in port folio performance. Also, the results support the use of an 'asset clas s factor model' in measuring portfolio performance.