Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...

Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV...

In this paper assess the relative performance of US mutual funds using a non-parametric method such as data envelopment analysis (DEA). In particular, we assess the changes of mutual funds’ total productivity using the DEA-based Tornqvist productivity Index. The findings show significant...

<title>Abstract</title>We evaluate the efficiency of mutual fund managers of 20 different classes of management styles to identify the most efficient strategies and to propose an optimal pattern in selecting the funds by investors. We collect monthly data of 17,686 US mutual funds for a five-year period...

<title>Abstract</title>We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two <italic>CAPM</italic>-like models. The data includes a...

This paper aims to evaluate the risk-adjusted performance of Malaysian mutual funds using the modified performance evaluation ratios by the drawdown risk measure (DRM) based on modern portfolio theory, and to represent the results in a manner which is easily understood by the average investors...

Due to the numerous studies of asymmetric portfolio returns, asymmetric risk measures have widely been used in risk management with extensive uses on the methodology of n-degree lower partial moment (LPM). Unlike the initial studies, we use the risk measure of n-degree maximum drawdown, which is...

I present evidence that a moving average (MA) trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT indexes over the period January 1980 until December 2010. The abnormal returns are largely...

This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama--French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very...

This paper investigates the economic significance of mean-variance spanning tests using three classical statistical tests in a unified framework. I show how to compute confidence intervals about the Sharpe ratios of tangent portfolios, the variance of return of minimum variance portfolios, as...