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|Title:||Sampling properties of composite performance measures and their implications / BEBR No. 541|
|Author(s):||Lee, Cheng F.; Chen, Son-Nan|
|Contributor(s):||University of Illinois at Urbana-Champaign. College of Commerce and Business Administration|
|Subject(s):||Capital assets pricing model.|
|Issue Date:||Jan 18 197|
|Publisher:||[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,|
|Series/Report:||Faculty working papers ; no. 541|
|Description:||Includes bibliographical references (p. 36-38).
"The statistical relationship between estimated composite performance measures and their risk proxies are derived in accordance with statistical distribution theory. It is found that the estimated composite performance measures are generally highly correlated with their risk proxies. In general, sample size, investment horizon and the market condition are three important factors in determining the degree of relationship above-mentioned. It is shown that a larger number of historical observation and an appropriate investment horizon can generally be used to reduce the sample correlation between the estimated performance measures and their risk proxy. Sampling distributions for both Sharpe and Treynor measures are also derived."
|Rights Information:||In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact firstname.lastname@example.org for information.
Copyright Jan 18 1979 Board of Trustees University of Illinois.
|Date Available in IDEALS:||2011-09-15|
|Identifier in Online Catalog:||339803|
This item appears in the following Collection(s)
Research publications from the University of Illinois at Urbana-Champaign
Research Publications from UIUC