The most widely used measure of an asset’s risk, beta, stems from an equilibrium in which investors display mean-variance behaviour. This behavioural criterion assumes that portfolio risk is measured by the variance (or standard deviation) of returns, which is a questionable measure of...

Do investors in the US stock market obtain their long-term returns smoothly and steadily over time or is their long-term performance largely determined by the return of just a few outliers? How likely are investors to successfully predict the best days to be in and out of the market? The...

Purpose – The purpose of this study is to compare the performance of a low-P/E strategy relative to that of two alternative value strategies, one based on the PEG ratio and another on the PERG ratio (a magnitude introduced in this article). Design/methodology/approach – The data used...

The standard deviation, arguably the most widely-used measure of risk, suffers from at least two limitations. First, the measure has little intuitive appeal (defined as it is by the square root of the average quadratic deviation from the arithmetic mean return). Second, investors tend to...

The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article the normality assumption is tested (and clearly rejected) using time series of daily stock returns for 13 European securities markets. More importantly, four alternative...