Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan

Jiro Hodoshima () and Toshiyuki Yamawake ()
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Jiro Hodoshima: Nagoya University of Commerce and Business
Toshiyuki Yamawake: Nagoya University of Commerce and Business

Asia-Pacific Financial Markets, 2022, vol. 29, issue 2, No 2, 193 pages

Abstract: Abstract We evaluate stock market indexes by the Aumann–Serrano (AS) performance index for multi-period gambles and one-period gambles and the Sharpe ratio. Our results show the AS performance index is more distinct for multi-period gambles than for one-period gambles in evaluation of the Japanese stock market indexes. In other words, a favorable evaluation score as compared to the Sharpe ratio becomes even better in multi-period gambles than in one-period gambles while an unfavorable evaluation score compared to the Sharpe ratio becomes even worse in multi-period gambles than in one-period gambles.

Keywords: Aumann–Serrano performance index; Multi-period gamble; One-period gamble; Sharpe ratio; Stock data; G11; C22; C46 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10690-021-09343-7

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