The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article the normality assumption is tested (and clearly rejected) using time series of daily stock returns for 13 European securities markets. More importantly, four alternative...

Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. A possible alternative is to estimate the cost of equity based on the...

The most widely used measure of an asset’s risk, beta, stems from an equilibrium in which investors display mean-variance behaviour. This behavioural criterion assumes that portfolio risk is measured by the variance (or standard deviation) of returns, which is a questionable measure of...

Do investors in the US stock market obtain their long-term returns smoothly and steadily over time or is their long-term performance largely determined by the return of just a few outliers? How likely are investors to successfully predict the best days to be in and out of the market? The...

Purpose – The purpose of this study is to compare the performance of a low‐P/E strategy relative to that of two alternative value strategies, one based on the PEG ratio and another on the PERG ratio (a magnitude introduced in this article). Design/methodology/approach – The data used...

Between 1988 and 1994 ten European countries introduced or modified their regulations on insider trading. We evaluate in this article the impact of such regulatory changes on the risk, return, and some other characteristics of these ten markets. After extensive testing, we find that the evidence...

Math and jargon make essential financial concepts seem intimidating, but that is simply because most books do not have the goal of being accessible to interested readers - this book does. In ten easy-to-read chapters, it explains all the essential financial tools and concepts, fully illustrated...