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Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan

Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan We compare performance evaluation of the TOPIX Core 30 of Japanese stocks by the performance evaluation index based on the economic index of riskiness of Aumann and Serrano (J Polit Econ 116:810–836, 2008) and the Sharpe ratio. The performance index of Aumann and Serrano, which can take into account high moments and disaster risk, is more relevant for risk-averse investors than the Sharpe ratio. The two performance indexes are, unlike the U.S. stocks, surprising similar in the majority of the stocks studied. However, there do exist contrasting stocks where the two performance indexes differ considerably, reflecting the underlying performance of stocks. Use of the two performance indexes together can result in better characterization of stocks. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Financial Markets Springer Journals

Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan

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Publisher
Springer Journals
Copyright
Copyright © Springer Japan KK, part of Springer Nature 2019
Subject
Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; International Economics; Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
1387-2834
eISSN
1573-6946
DOI
10.1007/s10690-019-09287-z
Publisher site
See Article on Publisher Site

Abstract

We compare performance evaluation of the TOPIX Core 30 of Japanese stocks by the performance evaluation index based on the economic index of riskiness of Aumann and Serrano (J Polit Econ 116:810–836, 2008) and the Sharpe ratio. The performance index of Aumann and Serrano, which can take into account high moments and disaster risk, is more relevant for risk-averse investors than the Sharpe ratio. The two performance indexes are, unlike the U.S. stocks, surprising similar in the majority of the stocks studied. However, there do exist contrasting stocks where the two performance indexes differ considerably, reflecting the underlying performance of stocks. Use of the two performance indexes together can result in better characterization of stocks.

Journal

Asia-Pacific Financial Markets – Springer Journals

Published: Jun 14, 2020

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