search query: @indexterm RISK MEASUREMENT / total: 141
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| Author: | Chen, S-N. Lee, C. F. |
| Title: | The effects of the sample size, the investment horizon and market conditions on the validity of composite performance measures a generalisation. |
| Journal: | Management Science
1986 : NOV, VOL. 32:11, p. 1410-1422 |
| Index terms: | CAPITAL ASSET PRICING RISK MEASUREMENT COMPANY PERFORMANCE |
| Language: | eng |
| Abstract: | The empirical relationship between Sharp measure and its risk proxy was shown to be dependent on the sample size,the investment horizon and market conditions. This result is generalized to include Treynor and Jensen performance measures. It is shown that the conventional sample estimate of ex-ante Treynor measure is biased. So the ranking of mutual fund performance based on the biased estimate is not an unbiased ranking as implied by ex-ante Treynor measure. A significant relationship between the estimated Jensen measure and its risk proxy may produce a potential bias associated with the cumulative average residual technique which is frequently used for testing the market efficiency hypothesis. |
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