We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term...

We construct a new lottery measure (ALM) to evaluate the lottery preference feature of stocks. The new measure is different from the common used lottery proxies: maximum daily return (MAX) and skewness (SKEW). In the U.S. stock market, the relationship between the ALM and expected returns is...