Purpose – The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the economic significance of non-normality to complement a statistical significance test of...

Purpose – The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance...

The present article aims to evaluate the performance of ten domestic balanced mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1998. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation,...

The capital asset pricing model, using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, has been applied extensively to measure the risk of the bond mutual funds operating in the Greek financial market. This article argues that the General Index of the...

The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk,...

This study examines the fund‐level correlates of return and share price discount or premium for the closed end funds (CEFs) investing in emerging and developed capital markets. It also compares the performance of CEFs investing in emerging markets with similar types of funds that invested in...

Outlines the development of risk management products, reviews relevant research and identifies reasons for their rapid growth. Reports a study of US public issues of securities from 1962 to 1998 which examines the introduction and longevity of various types; and analyses the issuers and leading...

This study adds to the ongoing analysis of the long‐term impact of Asian financial crisis on the stock markets of eight Asian‐Pacific countries. Using current data to capture postcrisis behavior of returns, multivariate cointegration analysis reveals that a cointegrating relationship exists...