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Portfolio Performance, Residual Analysis and Capital Asset Pricing Model Tests

Edward M. RiceDavid Mayers

出版	College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1979
URL	http://books.google.com.hk/books?id=rJ6PoQeMyWAC&hl=&source=gbs_api

註釋

Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Roll's conclusions are due to his inappropriate use of a 'truly' ex-ante efficient index. Using a choice and information theoretic framework, an appropriate index is shown to be efficient relative to to the probabilities assessed by the 'market.' Residual analyses and portfolio performance tests, using such an index, yield meaningful results for a wide class of information structures. Roll's primary criticisms, however, relate to tests of the model itself. We argue that these criticisms are vastly overstated.