In this primer, we review the classical methods for assessing the performance of a financial portfolio. The analysis relies on benchmarking the return on the portfolio with that of a peer group. We define and discuss the pros and cons of four performance metrics that are theoretically consistent...

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...

Stock market synchronicity is a new area of research in finance and economics literature. Morck at al (2000) are among the first to propose a model of stock market synchronous behaviour of emerging markets and suggested that R square values of emerging markets are higher than the developed...

Mispricing (the difference between prices and their underlying fundamental values) is an important characteristic of markets. The literature on the topic consists of many different measures. This state of affairs is unsatisfactory, since it is not clear to which extent results are sensitive to...

This study examines whether and under what conditions common stock prices reflect the accounting mismeasurement of diluted EPS related to convertible instruments. As the costs and benefits of information processing related to the accounting mismeasurement are high, it is unclear under what...

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...