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| Author: | Gasbarro, D. Wong, W-K. Zumwalt, J.K. |
| Title: | Stochastic dominance analysis of iShares |
| Journal: | European Journal of Finance
2007 : JAN/FEB, VOL. 13:1-2, p. 89-101 |
| Index terms: | capital asset pricing stochastic dominance models |
| Freeterms: | Sharpe ratio skewness country index funds |
| Language: | eng |
| Abstract: | This study compares the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as there are found no significant differences. In contrast, stochastic dominance procedures identify dominant iShares. Despite varying results over time, in the ranking of the iShares stochastic dominance seems to be more robust and discriminating than the CAPM. |
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