We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

The paper studies the interactions between credit, financial asset prices (namely equity prices), and consumer price inflation for the countries belonging to the Gulf Cooperation Council using quarterly observations from 1998:1 to 2009:4. The stock price is seen to have a positive and...

With continued strong inflows into hedge fund strategies, it is imperative for researchers to study if hedge funds are still worth their high fees. In an updated and comprehensive study covering both North American and Asian hedge funds, we find market risk factors explain up to 81% of hedge...

In 2008, Epstein and Schneider formulated a microstructure-inspired theory in which one could determine price volatility through a number of other market parameters such as asset volatility, risk free rate and dividend rate. A particular feature of the Epstein-Schneider theory is an extremely...

We consider the exact analytical pricing of an European option written on the spread between two correlated underlying assets. General model-independent properties of the option price are observed and an exact analytical expression for the spread option value is derived in the case of two...

The article presents a case study of valuation of real options included in a investment project. The main goal of the article is to present the calculation and methodological issues of application the methodology for real option valuation. In order to do it there are used the binomial model and...

The calculation of expected returns is a necessary ingredient in data processing for an event study. The method most commonly used, the market model, often fails to meet the OLS requirement of normally distributed residuals, and tends to furnish regression output (low R2, and insignificant t-...

This paper extends recent discussion on the effectiveness of mutual fund performance measures. We utilize the well-known value premium to examine the ability of mutual fund performance measures to distinguish between the results of value funds and growth funds. Specifically, we examine the...

This paper replicates the core underlying merger arbitrage strategy using daily data from the United Kingdom to generate three simulated merger arbitrage portfolio return series, for the period 2001 through to 2004. Past empirical evidence indicates that the merger arbitrage strategy generates...

This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...