Does Voracious Behavior favor Efficient Market Hypothesis? Role of Performance Measures
نویسندگان
چکیده
Greed plays an important in the fluctuations of stock prices because investors want profits irrespective risk taken by them. This study aims to determine, whether, times rising trends market, greediness is good for investor or not. Secondly, can get high beating market The already formed deciles portfolios listed companies on NYSE, AMEX, and NASDAQ based size book value are from Kenneth R. French data library Dec 1994 2021. Sharpe, Treynor, Sortino ratios used as measure performance portfolios. Ordinal logistic regression calculate probability at different benchmark levels whether gets profit results show that who Sharpe ratio has average 85% getting a more than 75% S&P-500 all periods. Thus, investors’ long run if considers total beat market. By using Treynor ratio, there 50% achieving up which S&P-500. means not able thus, support efficient hypothesis considering downside risk.
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ژورنال
عنوان ژورنال: Scientific Annals of Economics and Business
سال: 2022
ISSN: ['2501-1960', '2501-3165']
DOI: https://doi.org/10.47743/saeb-2022-0029