Marginal Conditional Stochastic Dominance, Statistical Inference, and Measuring Portfolio Performance
AbstractA simple statistical test is developed for marginal conditional stochastic dominance (MCSD). The MCSD is an extension of second-degree stochastic dominance. As such, without specification of the return-generating process, it can rank securities according to marginal changes of return distributions conditionally to the distribution of the market proxy, thereby proving a powerful technique for measuring portfolio performance. Although the MCSD test is asymptotic and conservative, under both the hypotheses of homoskedasticity and heteroskedasticity, it has power to detect the dominance alternative for samples with more than 300 observations. For an illustration, the MCSD test is applied to international equity markets. The test is able to show that nine of twenty-eight equity markets are dominated by the world market.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 24 (2001)
Issue (Month): 2 (Summer)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.
- Zhang, Duo, 2009. "A demonstration of the non-necessity of marginal conditional stochastic dominance for portfolio inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 417-423, May.
- Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.