Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45787 
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dc.contributor.authorCaporin, Massimilianoen
dc.contributor.authorLisi, Francescoen
dc.date.accessioned2011-06-06T09:47:29Z-
dc.date.available2011-06-06T09:47:29Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/45787-
dc.description.abstractThe 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.en
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2011-14en
dc.subject.jelC10en
dc.subject.jelG11en
dc.subject.jelC40en
dc.subject.ddc330en
dc.subject.keywordperformance measurementen
dc.subject.keywordrank correlationsen
dc.subject.keywordcomparing performance measuresen
dc.titleComparing and selecting performance measures using rank correlations-
dc.typeWorking Paperen
dc.identifier.ppn661030350en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:201114en

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