In empirical tests of the CAPM, the theoretical risk-free asset is typically assumed to be 1-
month Treasury bills. This paper examines the implications of a mis-specified risk-free asset …

We show that when returns are iid, the Sharpe ratio calculated over a T-period holding
horizon will first rise and then fall as T increases, instead of a monotonic function of T if one …

Transaktionen im Bereich nicht börsennotierter Unternehmen haben zuletzt wieder stark
zugenommen; jedoch ist die Ermittlung des Betas-des systematischen Risikos–bei nicht …

Beta is a widely accepted measure of systematic risk and is used by practitioners for capital
budgeting, portfolio formation, and performance evaluation. It is important to know whether …

The current literature on financial economics is dominated by neoclassical dogma and,
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …

Using Sharpe and Treynor's two moment and Prakash and Bear's and Stephens and
Proffitt's higher moment performance measures, this paper presents empirical evidence that …

Page 1 Sven Jähnchen Kapitalkosten von Versicherungsunternehmen GABLER EDITION
WISSENSCHAFT Page 2 Page 3 Sven Jähnchen Kapitalkosten von …

SYNOPTIC ABSTRACT This work deals with statistical inferences on the “Sharpe Ratio”(SR)
based on small samples. We have considered point estimation, interval estimation, as well …

The purpose of this paper is two-fold:(1) to present a stochastic dominance technique which
can be used to quantify differences in cumulative probability distributions of data, and (2) to …

The finance literature is relatively rich in its coverage of the effect of the investment horizon
on performance measures. This effect has been named alternatively: the intervaling effect …