Compares four risk‐adjusted performance measures and explains their importance, to banking in particular. Applies the risk‐adjusted return on capital (RAROC) measure to five product classes at several branches of an international bank for six months, finds considerable differences between...

We study the relation between equity market uncertainty and the informational efficiency of U.S. equity prices, proxied by the SPDR S&P 500 Trust ETF. Using the Baker, Bloom, and Davis (2016) equity market uncertainty index, we document a negative relation between market uncertainty and...