عنوان مقاله [English]
نویسندگان [English]چکیده [English]
Market efficiency has always been one the main assumptions of the researches theories for improving the investment Procedures. However, due to insufficiency of these theories in the past, new theories have been raised to explain the excess returns that make doubt in markets efficiency.
In this article, the performance of Sharpe single-index model optimal portfolio, as a method of selection of investment portfolio that is called the modern financial theory, is measured in comparison with market portfolio performance for the period of September 2003 to September 2008, to evaluate the performance of the new methods. Also, the hypothesis of usefulness of using predictor variable fluctuations in prices for medium-term period was examined. In accordance with the findings of the research, there is not a significant difference between the average of market portfolio returns and the single-index portfolio. Also, the effectiveness of using predictor variable fluctuations in prices for increasing the return of single-index model optimal portfolio, was not approved. Evidences of the research refers to the weak level of information efficiency and more emphasis and attention on risk and return for medium-term period.