Performance evaluation with high moments and disaster risk

• 成果类型: Article
• 署名作者: Kadan, Ohad; Liu, Fang
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.03.006
• 发表日期: 2014
• 页码: 131-155
• 关键词: PERFORMANCE EVALUATION; rare disasters; High distribution moments

摘要

Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance indices. We derive the moment properties of these indices and their sensitivity to rare disasters and show that they are consistent with the asset pricing literature. As applications, we show that anomalous investment strategies such as momentum or investment in private equity lose much of their glamour when accounting for high moments and rare events. Furthermore, using the indices to select mutual funds results in desirable high-moment properties out of sample. (C) 2014 Elsevier B.V. All rights reserved.