Ownership structure and stock market liquidity: evidence from Tunisia

Rania Hentati, Jean-Luc Prigent, Nadia Belkhir Boujelbene, Abdelfatteh Bouri and Jean Luc Prigent
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Rania Hentati: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Abstract We introduce mixtures of probability distributions to model empirical distributions of financial asset returns. In this framework, we examine the problem of maximizing performance measures. For this purpose, we consider a large class of reward/risk ratios such as the Kappa measures and in particular the Omega ratio. This latter measure is associated to a downside risk measure based on a put component. All these measures can take account of the asymmetry of the probability distribution, which is important when dealing with mixture of distributions. We examine first a fundamental example: the ranking and maximization of Gaussian mixture distributions, according to the Omega performance measure. Then we provide a general result for the maximization of mixture distributions with respect to a very large family of performance measures, including Kappa measures.

Date: 2011
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Published in International Journal of Managerial and Financial Accounting, 2011, 3 (1), pp.91. ⟨10.1504/IJMFA.2011.038365⟩

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Journal Article: Ownership structure and stock market liquidity: evidence from Tunisia (2011)
Working Paper: Ownership structure and stock market liquidity: evidence from Tunisia (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-03679711

DOI: 10.1504/IJMFA.2011.038365

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