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Benchmark Portfolio Inefficiency and Deviations from the Security Market Line

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 Green, Richard C
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 41 (1986)
Issue (Month): 2 (June)
Pages: 295-312
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Handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:295-312

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  1. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Mark Grinblatt, 1989. "A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns," University of California at Los Angeles, Anderson Graduate School of Management 1189, Anderson Graduate School of Management, UCLA. [Downloadable!]
  3. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 97-130, May. [Downloadable!]
  4. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 225-235, September. [Downloadable!] (restricted)
  5. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  6. Juan-Pedro Gómez & Fernando Zapatero, 2001. "Asset Pricing Implications of Benchmarking: A Two-Factor CAPM," Economics Working Papers 693, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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