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Title:Comparing and selecting performance measures using rank correlations PDF Logo
Authors:Caporin, Massimiliano
Lisi, Francesco
Issue Date:2011
Series/Report no.:Economics Discussion Papers 2011-14
Abstract:The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance measures over more than one thousand of equities included in the Standard & Poor's 1500 index. They evaluate performance measures by mean of rank correlations, exploiting the possible dynamic evolution of the rank correlations, and proposing a method for the identification of the subset of measures which are not equivalent. Their empirical study highlights that recent and more flexible measures provide different asset ranks compared to classical approaches, and that the set of equivalent performance measures is not stable over time.
Subjects:performance measurement
rank correlations
comparing performance measures
JEL:C10
G11
C40
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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