Testing Market Efficiency for Different Market Capitalization Funds
AbstractThe main purpose of this study is to use the Sharpe Ratio to test the efficient market hypothesis for different market capitalization and investment styles of mutual funds. The results of the study for the entire period of 1994-2007 as well as the two sub-periods (1994-1999 and 2000-2007) indicate that small cap funds have provided the highest risk-adjusted return for the entire period whereas growth funds have exhibited lower returns. The findings, therefore, suggest that the mutual funds market is not always efficient, which makes it possible for an investor or a mutual fund manger to earn excess return on a risk-adjusted basis.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal American Journal of Business.
Volume (Year): 23 (2008)
Issue (Month): 2 ()
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Find related papers by JEL classification:
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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- Sanford J Grossman & Joseph E Stiglitz, 1997.
"On the Impossibility of Informationally Efficient Markets,"
Levine's Working Paper Archive
1908, David K. Levine.
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