Testing Market Efficiency for Different Market Capitalization Funds

Hossein Varamini and Svetlana Kalash
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Hossein Varamini: Elizabethtown College
Svetlana Kalash: Teleflex Incorporated

American Journal of Business, 2008, vol. 23, issue 2, pages 17-26

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 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.

Keywords: Market capitalization funds; mutual fund efficiency; Sharpe Ratio; Modigliani and Modigliani (M-Squared) Measure (search for similar items in EconPapers)
JEL-codes: R00 Z0 (search for similar items in EconPapers)
Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:maj:ancoec:v:23:y:2008:i:2:p:17-26

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