  The paper predicts an Efficient Market Property for the equity market, where
stocks, when denominated in units of the growth optimal portfolio (GP), have
zero instantaneous expected returns. Well-diversified equity portfolios are
shown to approximate the GP, which explains the well-observed good performance
of equally weighted portfolios. The proposed hierarchically weighted index
(HWI) is shown to be an even better proxy of the GP. It sets weights equal
within industrial and geographical groupings of stocks. When using the HWI as
proxy of the GP the Efficient Market Property cannot be easily rejected and
appears to be very robust.
