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...