Testing Market Efficiency for Different Market Capitalization Funds
ISSN: 1935-519X
Article publication date: 28 October 2008
Issue publication date: 28 October 2008
Abstract
The 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 subperiods (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 manager to earn excess return on a risk‐adjusted basis.
Keywords
Citation
Varamini, H. and Kalash, S. (2008), "Testing Market Efficiency for Different Market Capitalization Funds", American Journal of Business, Vol. 23 No. 2, pp. 17-28. https://doi.org/10.1108/19355181200800006
Publisher
:Emerald Group Publishing Limited
Copyright © 2008, Emerald Group Publishing Limited