Portfolio Efficiency Tests with Conditioning Information—Comparing GMM and GEL Estimators

Pereira, Caio Vigo; Laurini, Márcio Poletti

doi:10.3390/e24121705

Cited by 3 publications

(2 citation statements)

References 48 publications

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“…It may be noted that the GRS test does not accommodate short-selling restrictions (Fletcher [18]). Vigo-Pereira and Laurini [19] stated that for the GRS test to be effective the error terms have to be i.i.d N(0,1), normally distributed ~N(µ, σ 2 );…”

Section: The Gibbons Ross and Shanken Test Statistic And Its Relevancementioning

confidence: 99%

The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties

Agrrawal

2023

Mathematics

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This study is intended as a note and provides an extension to a much-used and established test for portfolio efficiency, the Gibbons, Ross, and Shanken GRS-Wald test. Tests devised to measure portfolio efficiency are crucial to the theoretical issues related to CAPM (Capital Asset Pricing Model) testing and have applications for the fund manager who seeks to rank portfolio performance. This study looks at the GRS-Wald test for portfolio efficiency and extends it to make it visually more interpretive without any loss of generality in its structure. The geometrically recast statistic draws upon the trigonometric properties of a portfolio in the mean-variance space and a mathematical proof of the equivalence of the two statistics is provided. The GRS-Wald test is a widely used statistic in studies addressing the issue of portfolio efficiency and CAPM deviations. A simulation demonstrates the use of the recast GRS-Wald test in testing for the mean-variance efficiency of a test portfolio. The study also provides a table of the GRS-Wald test, based on a range of mean-variance locations (cosine of portfolio angles) at which the test portfolio and the efficient market portfolio can be placed.

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Section: The Gibbons Ross and Shanken Test Statistic And Its Relevancementioning

confidence: 99%

The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties

Agrrawal

2023

Mathematics

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“…This concern is referred to as Roll's critique [3]. The EIV problem poses challenges in estimating the CAPM and assessing its empirical validity, and notably impacts investment decisions [4,5] as well as testing procedures for portfolio efficiency [6][7][8][9].…”

Section: Introductionmentioning

confidence: 99%

Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach

de Andrade Alves,

Laurini

2023

Mathematics

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This paper introduces an instrumental variable Bayesian shrinkage approach specifically designed for estimating the capital asset pricing model (CAPM) while utilizing a large number of instruments. Our methodology incorporates horseshoe, Laplace, and factor-based shrinkage priors to construct Bayesian estimators for CAPM, accounting for the presence of measurement errors. Through the use of simulated data, we illustrate the potential of our approach in mitigating the bias arising from errors-in-variables. Importantly, the conventional two-stage least squares estimation of the CAPM beta is shown to experience bias escalation as the number of instruments increases. In contrast, our approach effectively counters this bias, particularly in scenarios with a substantial number of instruments. In an empirical application using real-world data, our proposed methodology generates subtly distinct estimated CAPM beta values compared with both the ordinary least squares and the two-stage least squares approaches. This disparity in estimations carries notable economic implications. Furthermore, when applied to average cross-sectional asset returns, our approach significantly enhances the explanatory power of the CAPM framework.

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PIB brasileiro como carteira de mercado eficiente no modelo CAPM

Teixeira

Neto

Reina

2021

R. Contemp. Contab.

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No mercado financeiro, nota-se a existência de períodos em que há divergência entre os dados macroeconômicos (PIB, desemprego) e os dados do mercado acionário, principalmente os índices de ações. Questionando se o Ibovespa, retratam fidedignamente o cenário econômico nacional. O objetivo desta pesquisa foi testar a eficiência no sentido ‘média-variância’, de carteiras inspiradas na composição do PIB, como proxies para a carteira de mercado no modelo CAPM. Comparando-as com a eficiência do índice Bovespa para o mesmo objetivo. Para isto foi utilizada a análise de regressão multivariada em uma amostra de 148 empresas, num período de 10 anos, 2009 a 2018. Os resultados mostraram que nenhuma das carteiras apontadas, tanto quanto o índice Bovespa, são eficientes como representante do mercado brasileiro segundo o CAPM. No entanto, apesar de não cumprir as condições de eficiência estipuladas, o Ibovespa se apresentou como a medida mais indicada para a carteira de mercado.

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Portfolio Efficiency Tests with Conditioning Information—Comparing GMM and GEL Estimators

Cited by 3 publications

References 48 publications

The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties

The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties

Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach

PIB brasileiro como carteira de mercado eficiente no modelo CAPM

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