The cross-autocorrelation of size-based portfolio returns in Europe

Article Abstract:

The cross-autocorrelation of size-based portfolio returns in a sample of 15 major European markets, using daily data from January 1990 through December 1999 is examined. The results indicate that in most European countries, large stock portfolio returns lead small stock portfolio returns, and that cross-autocorrelation is present both within and between European financial markets.

Europe, Surveys, Return on investment, Autocorrelation (Statistics), Rate of return, Stock markets, Stock market

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Comparison of benchmarks for portfolio performance: an empirical analysis

Article Abstract:

Category-based benchmarks are assessed against established benchmarks to evaluate as to which alternative accurately evaluates a portfolio managerEs performance. Results indicated that the category-based benchmarks were more appropriate comparison reference for evaluating the systematic risk of equity portfolios and equity security returns.

Investment advice, Investment Advisory Services, Evaluation, Investment advisers, Benchmarks, Benchmarking, Categories (Philosophy), Benchmark

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Bayesian Markov mixture of normals approach to modeling financial returns

Article Abstract:

Study analyzing the practicality of Markov mixture of normals (MMN) model is presented. Bayesian estimation approach has been utilized in the research.

Usage, Bayesian statistical decision theory, Bayesian analysis, Markov processes

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