This paper analyzes whether market portfolio is efficient related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. Our results support prospect theory including assumption of loss aversion at monthly and yearly horizons, which indicate the market utility is S-shaped, and steeper for losses than for gains. However the findings don’t provide convincing evidence for positive skewness preference. Therefore, it should probe into asset pricing model and financial puzzles by prospect theory preferences. And, in the market, it may be difficult to benefit from the asset through its features on skewness, or other higher order central moment. In addition, for testing stochastic dominance efficiency, we also develop several bootstrap procedures that have favorable property in statistical size and power.

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