Are Global Investment Fund Markets Heading Towards Efficient Markets?

Abstract

We examine the American, European, Japanese, Chinese and Polish stock markets. We show that a representative investor of mutual fund market builds portfolios generating returns in light of the ICAPM and the use of ex-post fundamental analysis does not allow for above-average returns. We express the presumption that the average returns on the U.S. markets since 2007, and in European market since 2010 are in line with the ICAPM, which confirms the market efficiency. This can be a significant indication, especially for investment fund managers. We conclude that returns on the Japanese and Chinese markets do not confirm the efficiency of these markets.

Keywords: market efficiency, investment fund, ICAPM, portfolio analysis