Roll, Richard (1978) Ambiguity when Performance is Measured by the Securities Market Line. Journal of Finance, 33 (4). pp. 1051-1069. ISSN 0022-1082. https://resolver.caltech.edu/CaltechAUTHORS:20190506-142755778
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Abstract
Imagine an idealized analog to the activities of professional money managers, a contest whose rules are as follows: (a) Each contestant selects a portfolio from a specified set of individual assets. (b) Returns are observed on the assets. (c) After each period of return observation, the portfolios are re-balanced to the initial selections. (d) After an interval consisting of several periods, "winners" and "losers" are declared for that interval. (e) Contestants choose a new portfolio, or keep the old one, and the process (b) through (d) is repeated. (f) After several intervals, consistent winners are declared to be superior port- folio managers and consistent losers are declared inferior. In the absence of any consistency, everyone is declared non-superior.
| Item Type: | Article | |||||||||
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| Additional Information: | © 1978 the American Finance Association. Comments and suggestions by Alan Kraus, David Mayers, Stephen Ross and Eduardo Schwartz are gratefully acknowledged. | |||||||||
| Issue or Number: | 4 | |||||||||
| Record Number: | CaltechAUTHORS:20190506-142755778 | |||||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190506-142755778 | |||||||||
| Official Citation: | Roll, R. (1978), AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE. The Journal of Finance, 33: 1051-1069. doi:10.1111/j.1540-6261.1978.tb02047.x | |||||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | |||||||||
| ID Code: | 95258 | |||||||||
| Collection: | CaltechAUTHORS | |||||||||
| Deposited By: | Tony Diaz | |||||||||
| Deposited On: | 06 May 2019 21:44 | |||||||||
| Last Modified: | 03 Oct 2019 21:11 |
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