A Note on the Evaluation of Long-run Investment Decisions using the Sharpe Ratio

Ken Johnston; John Hatem; Elton Scott

doi:10.1007/s12197-011-9213-8

A Note on the Evaluation of Long-run Investment Decisions using the Sharpe Ratio

Ken Johnston, John Hatem, Elton Scott

Finance

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation error in the calculation of the Sharpe ratio. It finds that higher order moments such as skewness and kurtosis are a further source of error that must be accounted for when making inferences about asset performance.

Original language	American English
Journal	Journal of Economics and Finance
Volume	37
DOIs	https://doi.org/10.1007/s12197-011-9213-8
State	Published - Jan 1 2013

Disciplines

Business Administration, Management, and Operations
Finance
Finance and Financial Management
Economics

Keywords

Investment horizon
Serial correlation
Sharpe ratio

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10.1007/s12197-011-9213-8License: Unspecified

http://dx.doi.org/10.1007/s12197-011-9213-8

Cite this

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abstract = "This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation error in the calculation of the Sharpe ratio. It finds that higher order moments such as skewness and kurtosis are a further source of error that must be accounted for when making inferences about asset performance.",

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AB - This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation error in the calculation of the Sharpe ratio. It finds that higher order moments such as skewness and kurtosis are a further source of error that must be accounted for when making inferences about asset performance.

KW - Investment horizon

KW - Serial correlation

KW - Sharpe ratio

UR - https://digitalcommons.georgiasouthern.edu/econ-facpubs/61

UR - http://dx.doi.org/10.1007/s12197-011-9213-8

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JF - Journal of Economics and Finance

ER -

A Note on the Evaluation of Long-run Investment Decisions using the Sharpe Ratio

Abstract

Disciplines

Keywords

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