¿Los índices de mercado son carteras eficientes? El caso español del IBEX-35

Abstract

In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and II errors, for both gaussian and non-gaussian behavior. The results on Spanish market index (IBEX-35) show that optimal portfolios may be more efficient than the IBEX-35 with fewer assets, which under a non-Gaussian test are exceeded and, without exhibiting the usual problem of market risk premiums not positive.