In this paper, we study the relative performance of value versus growth strategies from the perspective of stochastic dominance. Using half a century US data on value and growth stocks, we find no evidence against the widely documented fact that value stocks stochastically dominate growth stocks...

We investigate the value versus growth investment strategies from the perspective of stochastic dominance analysis. Using G7 country data on value and growth stocks, we find that value stocks stochastically dominate growth stocks only for the US, Canada, and Japan, while there are no significant...

Using the idea of stochastic dominance, the long-run post-merger stock performance of UK acquiring firms is studied. Performance is compared by using the entire distribution of returns rather than only the mean as in traditional event studies. The main results are as follows: First, it is found...

In this paper, we propose a new spot-futures hedging method that determines the optimal hedge ratio by minimizing the riskiness of hedged portfolio returns, where the riskiness is measured by the index of Aumann and Serrano (2008). Unlike the risk measurements widely used in the literature, the...

This paper explores how the fearful market-based sentiment indicators affect investor trading behavior and market liquidity. Our results show that a high degree of fearful market-based sentiment induces more sell orders along with a reduction in market liquidity, and vice versa. In addition,...

We set out in this study to examine whether investors can improve their investment opportunity sets through the addition of an IPO index portfolio into various sets of benchmark portfolios. Using the IPOX indices from the years 1980-2006, we find that adding an IPO index portfolio does lead to a...