|
EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/48833
|
| | |
| Title: | | Comparing and selecting performance measures using rank correlations  |
| Authors: | | Caporin, Massimiliano Lisi, Francesco |
| Issue Date: | | 2011 |
| Citation: | | [Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 5 [Issue:] 2011-10 [Pages:] 1-34 |
| Series/Report no.: | | Economics 2011-10 |
| Abstract: | | The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We 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. We 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. Our 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 C40 G11 |
| Persistent Identifier of the first edition: | | doi:10.5018/economics-ejournal.ja.2011-10 |
| Creative Commons License: | |  |
| Document Type: | | Article |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/48833
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|