benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic … tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return …

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive … announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become … policies change with index inclusion. For instance, payout policies of firms joining the index become more similar to the …

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying …-Serrano performance index for multi-period gambles with that for one-period gambles as well as the Sharpe ratio. Our empirical study is …