Seeking persistent abnormal portfolio performance has been a key question for academics and practitioners. The main … becomes an important issue when one deals with multiple testing. Different pricing models are used and the performance of …

for their basic views and practices and for insights into their company's performance-measurement and compensation …

model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out-of-sample Value …

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …

We analyse the performance of simple investment strategies in IPOs based on a large sample of IPOs in Germany between … 1985 and 2002. In particular, we compare the performance of the following strategies: Invest equally weighted in each IPO … according to the latter two investment strategies does not yield significant underperformance. The difference in performance …