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A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market
Economics and Business Letters
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| Title |
A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market
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| Creator |
Severini, Thomas A.
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| Description |
A key assumption of the Capital Asset Pricing Model is that the market portfolio is efficient; when it is inefficient, , the difference between the expected excess return of the asset and the value predicted by the CAPM, is non-zero. In this paper, a simple bound on is given that depends on the efficiency of the market portfolio. Alternatively, the impact of inefficiency may be viewed in terms of its effect on , the coefficient of the expected market return in the CAPM. A simple bound on the difference between , based on an inefficient market portfolio, and , based on an efficient portfolio, is also given. These results are used to assess the impact of portfolio constraints.
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| Publisher |
Oviedo University Press
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| Contributor |
—
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| Date |
2015-12-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/10870
10.17811/ebl.4.4.2015.175-182 |
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| Source |
Economics and Business Letters; Vol 4, No 4 (2015): December - Special Issue Debt and Sustainability; 175-182
Economics and Business Letters; Vol 4, No 4 (2015): December - Special Issue Debt and Sustainability; 175-182 2254-4380 10.17811/ebl.4.4.2015 |
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| Language |
eng
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| Relation |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/10870/10544
http://www.unioviedo.es/reunido/index.php/EBL/article/downloadSuppFile/10870/724 |
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| Rights |
Copyright (c) 2016 Economics and Business Letters
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