On the theory of residual analyses and abnormal performance metrics

Research output: Journal article publicationJournal articleAcademic researchpeer-review

9 Citations (Scopus)

Abstract

In spite of the proliferation of alternative API metrics, little interpretation and comparison of them has been conducted. Their relationship with the capital asset pricing model has remained obscure. This paper attempts to clarify these and other issues. The major conclusion is that API (or residual) analysis is not satisfactory for testing market efficiency and, therefore, it seems premature to conclude that available evidence is consistent with efficiency.
Original languageEnglish
Pages (from-to)175-193
Number of pages19
JournalAustralian Journal of Management
Volume3
Issue number2
DOIs
Publication statusPublished - 1 Jan 1978
Externally publishedYes

Keywords

  • AGGREGATION
  • API
  • EFFICIENCY
  • MARKET MODEL
  • RESIDUAL
  • STOCK MARKET PRICES

ASJC Scopus subject areas

  • Business, Management and Accounting(all)

Cite this