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- Title
On Testing Theories of Financial Intermediary Portfolio Selection.
- Authors
Berndt, Ernst R.; Mccurdy, Thomas H.; Rose, David E.
- Abstract
The article focuses on testing theories of financial intermediary portfolio selection. The portfolio demand equations possessed properties similar to those of consumer demand theory: symmetry, homogeneity, and adding up restrictions. When the system of so-restricted demand equations was estimated, seemingly reasonable results were obtained. In particular, a great deal of emphasis was placed on the signs and significance tests of the individual parameters. Economist J.M. Parkin recognized that their estimation procedure was deficient, but claimed that the use of a more appropriate procedure does not lead to any major changes in conclusions. More recently, economist A.S. Courakis re-estimated the system of portfolio demand equations using a maximum likelihood procedure and the discount house data, he also examined the empirical validity of the various restrictions imposed by Parkin. Courakis found that these restrictions were inconsistent with the data, and concluded that Parkin has presented what is certainly a theoretically more rigorous, but empirically unconvincing alternative.
- Subjects
INTERMEDIATION (Finance); PORTFOLIO management (Investments); INVESTMENT analysis; INVESTMENTS; CONSUMPTION (Economics); DISCOUNT houses (Finance); ECONOMIC demand; ESTIMATION theory
- Publication
Review of Economic Studies, 1980, Vol 47, Issue 5, p861
- ISSN
0034-6527
- Publication type
Article
- DOI
10.2307/2296918