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Stochastic Dominance Analysis of iShares
Gasbarro, Dominic; Wong, Wing-Keung; Zumwalt, J. Kenton - East Asian Bureau of Economic Research (EABER) - 2007
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis …
Persistent link: https://www.econbiz.de/10009365418
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Stochastic Dominance Analysis of iShares
Gasbarro, Dominic; Wong, Wing-Keung; Zumwalt, J. Kenton - In: The European Journal of Finance 13 (2007) 1, pp. 89-101
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis …
Persistent link: https://www.econbiz.de/10005012241
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EVIDENCE ON THE PERFORMANCE OF COUNTRY INDEX FUNDS IN GLOBAL FINANCIAL CRISIS
Meric, Ilhan; Lentz, Christine; Smeltz, Wayne; Meric, Gulser - In: The International Journal of Business and Finance Research 4 (2010) 4, pp. 89-101
During the October 9, 2007-March 9, 2009 period, the U.S. stock market experienced the worst bear market in its history since the Great Depression. Empirical studies show that exchange-traded country index funds can provide portfolio diversification benefits to investors in bull markets....
Persistent link: https://www.econbiz.de/10011206167
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Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets
Meric, Ilhan; Gishlick, Herbert E.; Taga, Leonore S.; … - In: Business and Economics Research Journal 2 (2011) 1, pp. 1-1
In this paper, we study the risk-return performance of 23 Ishares country index funds in the U.S. during the May 19, 2008-March 9, 2009 bear market and the March 9, 2009-January 19, 2010 bull market. Our findings with the Sharpe and Treynor portfolio performance measures indicate that the...
Persistent link: https://www.econbiz.de/10008788406
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Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
Pézier, Jacques - Henley Business School, University of Reading - 2007
Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...
Persistent link: https://www.econbiz.de/10008542356
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Rationalization of Investment Preference Criteria
Pézier, Jacques - Henley Business School, University of Reading - 2011
The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...
Persistent link: https://www.econbiz.de/10010938095
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Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement
Homm, Ulrich; Pigorsch, Christian - In: Journal of Banking & Finance 36 (2012) 8, pp. 2274-2284
We propose a performance measure that generalizes the Sharpe ratio. The new performance measure is monotone with respect to stochastic dominance and consistently accounts for mean, variance and higher moments of the return distribution. It is equivalent to the Sharpe ratio if returns are...
Persistent link: https://www.econbiz.de/10010599651
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The term structure of implied dividend yields and expected returns
Bilson, John F.O.; Kang, Sang Baum; Luo, Hong - In: Economics Letters 128 (2015) C, pp. 9-13
This paper proposes a new dividend-based S&P 500 Index return predictor, the implied dividend yield term structure (IDYTS). We show that the IDYTS is a “cleaner” predictor than its conventional counterpart, the dividend price ratio (DP), in that the expected return is a linear combination...
Persistent link: https://www.econbiz.de/10011208453
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Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
Giacometti, Rosella; Ortobelli, Sergio; Tichý, Tomáš - In: Prague Economic Papers 2015 (2015) 1, pp. 3-16
Assuming a non-satiable risk-averse investor, the standard approach to portfolio selection suggests discarding of all ineffi cient investment in terms of mean return and its standard deviation ratio within its fi rst step. However, in literature we can fi nd many alternative dispersion and risk...
Persistent link: https://www.econbiz.de/10011213845
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A note on skewness seeking: an experimental analysis
Brünner, Tobias; Levínský, René; Qiu, Jianying - 2007
In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered … ¯nd that the skewness of a distribution has a signi¯cant impact on the decisions. Yet, while skewness has an impact, its … direction di®ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to …
Persistent link: https://www.econbiz.de/10010275666