메뉴 건너뛰기




Volumn 13, Issue 1, 2007, Pages 89-101

Stochastic dominance analysis of iShares

Author keywords

Country index funds; Sharpe ratio; Skewness; Stochastic dominance

Indexed keywords


EID: 33845450811     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470601025243     Document Type: Article
Times cited : (76)

References (39)
  • 1
    • 0030372030 scopus 로고    scopus 로고
    • Nonparametric tests of stochastic dominance in income distributions
    • Anderson, G. (1996) Nonparametric tests of stochastic dominance in income distributions, Econometrica, 64, pp. 1183-1193.
    • (1996) Econometrica , vol.64 , pp. 1183-1193
    • Anderson, G.1
  • 2
    • 3042731583 scopus 로고    scopus 로고
    • Toward an empirical analysis of polarization
    • Anderson, G. J. (2004) Toward an empirical analysis of polarization, Journal of Econometrics, 122, pp. 1-26.
    • (2004) Journal of Econometrics , vol.122 , pp. 1-26
    • Anderson, G.J.1
  • 3
    • 0037273405 scopus 로고    scopus 로고
    • Consistent tests for stochastic dominance
    • Barrett, G. and Donald, S. (2003) Consistent tests for stochastic dominance, Econometrica, 71, pp. 71-104.
    • (2003) Econometrica , vol.71 , pp. 71-104
    • Barrett, G.1    Donald, S.2
  • 4
    • 84959669794 scopus 로고
    • Safety-first, stochastic dominance, and optimal portfolio choice
    • Bawa, V. S. (1978) Safety-first, stochastic dominance, and optimal portfolio choice, Journal of Financial and Quantitative Analysis, 13, pp. 255-271.
    • (1978) Journal of Financial and Quantitative Analysis , vol.13 , pp. 255-271
    • Bawa, V.S.1
  • 5
    • 0040358202 scopus 로고
    • Convergence of the south and non-south income distributions
    • Bishop, J. A., Formly, J. P. and Thistle, P. D. (1992) Convergence of the south and non-south income distributions, American Economic Review, 82, pp. 262-272.
    • (1992) American Economic Review , vol.82 , pp. 262-272
    • Bishop, J.A.1    Formly, J.P.2    Thistle, P.D.3
  • 6
    • 0001350910 scopus 로고    scopus 로고
    • Statistical inference for stochastic dominance and for the measurement of poverty and inequality
    • Davidson, R. and Duclos, J.-Y. (2000) Statistical inference for stochastic dominance and for the measurement of poverty and inequality, Econometrica, 68, pp. 1435-1464.
    • (2000) Econometrica , vol.68 , pp. 1435-1464
    • Davidson, R.1    Duclos, J.-Y.2
  • 7
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E. F. and French, K. R. (1995) Size and book-to-market factors in earnings and returns, Journal of Finance, 50, pp. 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.F.1    French, K.R.2
  • 8
    • 12344253017 scopus 로고    scopus 로고
    • Stochastic dominance and the rationality of the momentum effect across markets
    • Fong, W. M., Wong, W. K. and Lean, H. H. (2005) Stochastic dominance and the rationality of the momentum effect across markets, Journal of Financial Markets, 8, pp. 89-109.
    • (2005) Journal of Financial Markets , vol.8 , pp. 89-109
    • Fong, W.M.1    Wong, W.K.2    Lean, H.H.3
  • 9
    • 0000240015 scopus 로고
    • Stochastic dominance and diversification
    • Hadar, J. and Russell, W. R. (1971) Stochastic dominance and diversification, Journal of Economic Theory, 3, pp. 288-305.
    • (1971) Journal of Economic Theory , vol.3 , pp. 288-305
    • Hadar, J.1    Russell, W.R.2
  • 10
    • 84963089164 scopus 로고
    • The efficiency analysis of choices involving risk
    • Hanoch, G. and Levy, H. (1969) The efficiency analysis of choices involving risk, Review of Economic Studies, 36, pp. 335-346.
    • (1969) Review of Economic Studies , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 11
    • 0011493753 scopus 로고
    • The relationship between arbitrage and first order stochastic dominance
    • Jarrow, R. (1986) The relationship between arbitrage and first order stochastic dominance, Journal of Finance, 41, pp. 915-921.
    • (1986) Journal of Finance , vol.41 , pp. 915-921
    • Jarrow, R.1
  • 12
    • 0000615046 scopus 로고
    • Risk, the pricing of capital assets and the evaluation of investment portfolios
    • Jensen, M. C. (1969) Risk, the pricing of capital assets and the evaluation of investment portfolios, Journal of Business, 42, pp. 167-247.
    • (1969) Journal of Business , vol.42 , pp. 167-247
    • Jensen, M.C.1
  • 13
    • 84977349574 scopus 로고
    • Performance hypothesis testing with the Sharpe and Treynor measures
    • Jobson, J. D. and Korkie, B. (1981) Performance hypothesis testing with the Sharpe and Treynor measures, Journal of Finance, 36, pp. 889-908.
    • (1981) Journal of Finance , vol.36 , pp. 889-908
    • Jobson, J.D.1    Korkie, B.2
  • 14
    • 0042342714 scopus 로고    scopus 로고
    • Testing for differences in the tails of stock-market returns
    • Jondeau, E. and Rockinger, M. (2003) Testing for differences in the tails of stock-market returns, Journal of Empirical Finance, 10, pp. 559-581.
    • (2003) Journal of Empirical Finance , vol.10 , pp. 559-581
    • Jondeau, E.1    Rockinger, M.2
  • 16
    • 84974514514 scopus 로고
    • Testing for second order stochastic dominance of two distributions
    • Kaur A., Rao, B. L. S. P. and Singh, H. (1994) Testing for second order stochastic dominance of two distributions, Econometric Theory, 10, pp. 849-866.
    • (1994) Econometric Theory , vol.10 , pp. 849-866
    • Kaur, A.1    Rao, B.L.S.P.2    Singh, H.3
  • 17
    • 33748881718 scopus 로고    scopus 로고
    • Stochastic dominance analysis of equity mutual fund performance
    • Kjetsaa, R. and Kieff, M. (2003) Stochastic dominance analysis of equity mutual fund performance, American Business Review, 21, pp. 1-8.
    • (2003) American Business Review , vol.21 , pp. 1-8
    • Kjetsaa, R.1    Kieff, M.2
  • 19
    • 0036697789 scopus 로고    scopus 로고
    • Preferred by "All" and preferred by "Most" decision makers: Almost stochastic dominance
    • Leshno, M. and Levy, H. (2002) Preferred by "All" and preferred by "Most" decision makers: almost stochastic dominance, Management Science, 48, pp. 1074-1085.
    • (2002) Management Science , vol.48 , pp. 1074-1085
    • Leshno, M.1    Levy, H.2
  • 20
    • 84993866604 scopus 로고
    • Alternative efficiency criteria: An empirical analysis
    • Levy, H. and Sarnat, M. (1970) Alternative efficiency criteria: an empirical analysis, Journal of Finance, 25, pp. 1153-1158.
    • (1970) Journal of Finance , vol.25 , pp. 1153-1158
    • Levy, H.1    Sarnat, M.2
  • 21
    • 0042723647 scopus 로고    scopus 로고
    • A note on stochastic dominance for risk averters and risk takers
    • Li, C. K. and Wong, W. K. (1999) A note on stochastic dominance for risk averters and risk takers, RAIRO Recherche Operationnelle, 33, pp. 509-524.
    • (1999) RAIRO Recherche Operationnelle , vol.33 , pp. 509-524
    • Li, C.K.1    Wong, W.K.2
  • 22
    • 33845456393 scopus 로고    scopus 로고
    • Consistent testing for stochastic dominance: A subsampling approach
    • London School of Economics
    • Linton, O., Maasoumi, E. and Whang, Y. J. (2002) Consistent testing for stochastic dominance: a subsampling approach, Working Paper, London School of Economics.
    • (2002) Working Paper
    • Linton, O.1    Maasoumi, E.2    Whang, Y.J.3
  • 23
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. M. (1952) Portfolio selection, Journal of Finance, 7, pp. 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.M.1
  • 24
    • 33845397315 scopus 로고    scopus 로고
    • Performance hypothesis testing with the Sharpe Ratio
    • Memmel, C. (2003) Performance hypothesis testing with the Sharpe Ratio, Finance Letters, 1, pp. 21-23.
    • (2003) Finance Letters , vol.1 , pp. 21-23
    • Memmel, C.1
  • 25
    • 84974313171 scopus 로고
    • Further applications of stochastic dominance to mutual fund performance
    • Meyer, J. (1977) Further applications of stochastic dominance to mutual fund performance, Journal of Financial and Quantitative Analysis, 12, pp. 235-242.
    • (1977) Journal of Financial and Quantitative Analysis , vol.12 , pp. 235-242
    • Meyer, J.1
  • 26
    • 0005832669 scopus 로고    scopus 로고
    • Skewness in financial returns
    • Peiro, A. (1999) Skewness in financial returns, Journal of Banking and Finance, 23, pp. 847-862.
    • (1999) Journal of Banking and Finance , vol.23 , pp. 847-862
    • Peiro, A.1
  • 27
    • 84956386516 scopus 로고
    • An empirical comparison of stochastic dominance and mean-variance portfolio choice criteria
    • Porter, R. B. (1973) An empirical comparison of stochastic dominance and mean-variance portfolio choice criteria, Journal of Financial and Quantitative Analysis, 8, pp. 587-608.
    • (1973) Journal of Financial and Quantitative Analysis , vol.8 , pp. 587-608
    • Porter, R.B.1
  • 28
    • 0000399827 scopus 로고
    • Stochastic dominance vs. mean-variance portfolio analysis: An empirical evaluation
    • Porter, R. B. and Gaumnitz, J. E. (1972) Stochastic dominance vs. mean-variance portfolio analysis: an empirical evaluation, American Economic Review, 62, pp. 438-446.
    • (1972) American Economic Review , vol.62 , pp. 438-446
    • Porter, R.B.1    Gaumnitz, J.E.2
  • 29
    • 0142219308 scopus 로고    scopus 로고
    • Empirical tests for stochastic dominance efficiency
    • Post, T. (2003) Empirical tests for stochastic dominance efficiency, Journal of Finance, 58, pp. 1905-1931.
    • (2003) Journal of Finance , vol.58 , pp. 1905-1931
    • Post, T.1
  • 30
    • 0038015848 scopus 로고    scopus 로고
    • Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets
    • Prakash, A. J., Chang, C. H. and Pactwa, T. E. (2003) Selecting a portfolio with skewness: recent evidence from US, European, and Latin American equity markets, Journal of Banking and Finance, 27, pp. 1375-1390.
    • (2003) Journal of Banking and Finance , vol.27 , pp. 1375-1390
    • Prakash, A.J.1    Chang, C.H.2    Pactwa, T.E.3
  • 31
    • 0000637723 scopus 로고
    • A general method for constructing simultaneous confidence intervals
    • Richmond, J. (1982) A general method for constructing simultaneous confidence intervals, Journal of the American Statistical Association, 77, pp. 455-460.
    • (1982) Journal of the American Statistical Association , vol.77 , pp. 455-460
    • Richmond, J.1
  • 32
    • 84980092818 scopus 로고
    • Capital asset prices: Theory of market equilibrium under conditions of risk
    • Sharpe, W. F. (1964) Capital asset prices: theory of market equilibrium under conditions of risk, Journal of Finance, 19, pp. 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 33
    • 0001752951 scopus 로고
    • Mutual fund performance
    • Sharpe, W. F. (1966) Mutual fund performance, Journal of Business, 39, pp. 119-138.
    • (1966) Journal of Business , vol.39 , pp. 119-138
    • Sharpe, W.F.1
  • 34
    • 84950660216 scopus 로고
    • Tables of the studentized maximum modulus distribution and an application to multiple comparison among means
    • Stoline, M. R. and Ury, H. K. (1979) Tables of the studentized maximum modulus distribution and an application to multiple comparison among means, Technometrics, 21, pp. 87-93.
    • (1979) Technometrics , vol.21 , pp. 87-93
    • Stoline, M.R.1    Ury, H.K.2
  • 35
    • 0037729259 scopus 로고    scopus 로고
    • Skewness persistence with optimal portfolio selection
    • Sun, Q. and Yan, Y. (2003) Skewness persistence with optimal portfolio selection, Journal of Banking and Finance, 27, pp. 1111-1121.
    • (2003) Journal of Banking and Finance , vol.27 , pp. 1111-1121
    • Sun, Q.1    Yan, Y.2
  • 36
    • 33845461314 scopus 로고    scopus 로고
    • Load and no-load mutual fund dynamics during the 1987 Market Crash: A Stochastic dominance analysis
    • Taylor, W. R. L. and Yoder, J. A. (1999) Load and no-load mutual fund dynamics during the 1987 Market Crash : A Stochastic dominance analysis, Journal of Economics and Finance, 23, pp. 255-265.
    • (1999) Journal of Economics and Finance , vol.23 , pp. 255-265
    • Taylor, W.R.L.1    Yoder, J.A.2
  • 37
    • 84925902383 scopus 로고
    • Stochastic dominance and maximization of expected utility
    • Tesfatsion, L. (1976) Stochastic dominance and maximization of expected utility, Review of Economic Studies, 43, pp. 301-315.
    • (1976) Review of Economic Studies , vol.43 , pp. 301-315
    • Tesfatsion, L.1
  • 38
    • 0002332446 scopus 로고
    • How to rate management of investment funds
    • Treynor, J. L. (1965) How to rate management of investment funds, Harvard Business Review, 43, pp. 63-75.
    • (1965) Harvard Business Review , vol.43 , pp. 63-75
    • Treynor, J.L.1
  • 39
    • 2442620306 scopus 로고    scopus 로고
    • A Monte Carlo investigation of some tests for stochastic dominance
    • Tse, Y. K. and Zhang, X. B. (2004) A Monte Carlo investigation of some tests for stochastic dominance, Journal of Statistical Computation and Simulation, 74, pp. 361-378.
    • (2004) Journal of Statistical Computation and Simulation , vol.74 , pp. 361-378
    • Tse, Y.K.1    Zhang, X.B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.