This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

This paper investigates the performance of various strategy-specific and composite hedge fund indices. Given the flexible and nonlinear investment mandates of hedge funds, various risk metrics that take factors such as extreme events and losses with respect to previous peaks are considered. Our...

This paper investigates the relation between downside risk and expected returns on the aggregate stock market in an international context. Nonparametric and parametric value at risk are used as measures of downside risk to determine the existence of a risk-return trade-off. For emerging markets,...

This paper uncovers several new empirical regularities in the historical returns of small stocks. First, within the sample of firms that have low market capitalizations, stocks with low past profitability (quot;laggersquot;) bring returns significantly higher than those of stocks with high past...

This paper examines the proportion of wealth invested in stock and bond portfolios as a function of the investors' age, i.e., investment horizon. It has become increasingly popular to advice investors to relocate their funds from a primarily stock portfolio to a primarily bond portfolio as they...

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

This article presents a comprehensive study of continuous time GARCH (generalized autoregressive conditional heteroskedastic) modeling with the thintailed normal and the fat‐tailed Student's‐t and generalized error distributions (GED). The study measures the degree of mean reversion in...

This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well‐known models in capturing the dynamic behavior of short‐term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and...

This paper uncovers several empirical regularities in the returns of small stocks. First, within the sample of firms that have low market capitalisations, stocks with low past profitability ('laggers') bring returns that are significantly higher than those of stocks with high past profitability...