In this study we attempt to investigate the linkages between value-based performance measurements and risk-return trade off in a way to explain cross sectional asset returns. On the side of value based performance measurements, three groups of variables are used as a sorting factor: traditional...

A market is typically considered to dominate price discovery if it is the first to reflect new information about the fundamental value. Our simulations indicate that common price discovery metrics – Hasbrouck information share and Harris-McInish-Wood component share – are only consistent...

The majority of factor analysis to-date has been isolated to the individual equity markets or in a cross-asset class framework, with very little literature that analyzes these factors across the equity markets of different countries. The goal of the study is to add to the body of research by...

Commonly used performance metrics calculated from tradable long-short strategies constructed using leverage lead to specious conclusions of statistical significance. In particular, even if assets are randomly assigned to the levered strategies' long and short portfolios, too often they generate...

We derive equilibrium asset prices when fund managers deviate from benchmark indices to exploit noise-trader induced distortions but fund investors constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets...