In this note, we use several modern multiple variance ratio tests (VR tests) to investigate whether the financial crisis has an impact on the random walk behaviour of international stock markets. Grouping a pre-crisis- and a crisis-panel in developed, emerging and frontier markets, respectively,...

Generating a high positive excess return in a prospective period does not necessarily increase the empirical Sharpe ratio of an investment fund. Therefore, we derive a critical range in which prospective excess returns must lie in order to increase its empirical Sharpe ratio. We also give a...