. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset …. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a … information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings …

We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … (2009) and correct the previous authors omission of certain components which contribute significantly to index option … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a …