A Stochastic Dominance Approach to Spanning
نویسنده
چکیده
We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is applied to analyze the stock market behavior of small firms in the month of January. Our findings suggest that the previously observed January effect is remarkably robust with respect to simplifying assumptions regarding the return distribution. 5001-6182 Business 4001-4280.7 Finance Management, Business Finance, Corporation Finance Library of Congress Classification (LCC) HG 4529 Investment analysis M Business Administration and Business Economics G 3 Corporate Finance and Governance Journal of Economic Literature (JEL) C 19 Econometric and Statistical methods: other 85 A Business General 220 A Financial Management European Business Schools Library Group (EBSLG) 250 D Statistische analyse Gemeenschappelijke Onderwerpsontsluiting (GOO) 85.00 Bedrijfskunde, Organisatiekunde: algemeen 85.30 Financieel management, financiering Classification GOO 85.33 Beleggingsleer Bedrijfskunde / Bedrijfseconomie Financieel management, bedrijfsfinanciering, besliskunde
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