Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/48833 
Year of Publication: 
2011
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 5 [Issue:] 2011-10 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2011 [Pages:] 1-34
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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