Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45787 
Year of Publication: 
2011
Series/Report no.: 
Economics Discussion Papers No. 2011-14
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, 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: 
cc-by-nc Logo
Document Type: 
Working Paper

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