Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123746
Authors: 
Gungor, Sermin
Luger, Richard
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-51
Abstract: 
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of test assets grows large relative to the number of available time-series observations, since the estimate of the disturbance covariance matrix eventually becomes singular. The suggested residual bootstrap procedures based on combining the individual group p-values avoid this problem while controlling the overall significance level. Simulation and empirical results illustrate the usefulness of the joint mean-variance efficiency tests.
Subjects: 
Econometric and statistical methods
Asset pricing
Financial markets
JEL: 
C12
C14
C15
G12
Document Type: 
Working Paper

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