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...

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,...

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...

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...

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...

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...