Two Essays on Stock Performance and Trading Strategy

• Main Authors: DUONG DANG KHOA, 楊登科
• Other Authors: WEIFENG HUNG
• Format: Others
• Language: en_US
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/sp4tn5

博士 === 逢甲大學 === 金融博士學位學程 === 107 === This dissertation comprises of 2 separate chapters in the investment and risk management fields. In the first topic, I explore the alternative performance measure of hedge funds to the traditional Sharpe Ratio (SR). The findings of this topic suggest that the non-parametric GSR and the non-parametric EPM produce superior rankings than those of the Sharpe Ratio. In addition, we find that the method proposed by Alexander (2008) produces similar rankings with the non-parametric GSR and the non-parametric EPM. In the second topic, I test the determinants of expected return cross-sectionally by using the data from 27 countries. The first contribution seeks to answer whether the determinants of expected returns in the 27 major markets are consistent or differ depending on country and region. The second contribution offers a robustness check for the capital asset pricing model outside the US market. Finally, my research suggests set of factors that could predict the expected return consistently and significantly across 27 countries and between developed markets and emerging markets.