This article formalizes the undesirable property of the Sharpe ratio that a fund with a certain poor performance can increase its Sharpe ratio in a prospective period by generating a sufficiently negative excess return. Specifically, we set out the conditions that a fund must meet to be exposed...

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,...

Using the parametric Generalized Method of Moments (GMM) methodology of Hansen (1982) and the nonparametric approach of Hansen and Jagannathan (1991), this note investigates the ability of Consumption-based Asset Pricing Models (CCAPMs) to explain the cross-section of investment funds returns in...

In this article, we test for the existence of daily seasonality in returns and volatilities of crude oil. Using a dummy-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on Mondays are significantly higher than on all...

In practice, a wide variety of performance measures is available to evaluate commodity investments. In this article, we show that the most popular of these metrics, i.e., the Sharpe ratio and 12 alternative reward-to-risk ratios based on drawdowns, partial moments and the Value at Risk, yield...

This paper analyses whether the consumption based capital asset pricing model is consistent with asset return data from Denmark, Italy, Norway and Austria. The performance of the CCAPM is evaluated by applying the nonparametric methodology of Hansen and Jagannathan (1991) and adopting five...

Three approaches are commonly used for analyzing decisions under uncertainty: expected utility (EU), second-degree stochastic dominance (SSD), and mean-risk (MR) models, with the mean–standard deviation (MS) being the best-known MR model. Because MR models generally lead to different efficient...

Using a new dataset for the German market, this article analyses whether modeling time-varying stochastic discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can help to explain the cross-section of book-to-market, size...