An empirical analysis of marginal conditional stochastic dominance
Authors:
- Ephraim ClarkECEphraim Clark
- Konstantinos KassimatisKKKonstantinos Kassimatis
- 1 April 2012
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 36 (4) , 1144-1151
Abstract
No abstract availableThis publication has 29 references indexed in Scilit:
- Making inefficient market indices efficientEuropean Journal of Operational Research, 2011
- The Fama-French and Momentum Portfolios and Factors in the UKSSRN Electronic Journal, 2009
- Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity ReturnsThe Journal of Finance, 2002
- A Note on Asset Proportions, Stochastic Dominance, and the 50% RuleManagement Science, 1999
- Value versus Growth: The International EvidenceThe Journal of Finance, 1998
- Co‐Kurtosis and Capital Asset PricingFinancial Review, 1997
- On Persistence in Mutual Fund PerformanceThe Journal of Finance, 1997
- Nonparametric Tests of Stochastic Dominance in Income DistributionsEconometrica, 1996
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- A Test of the Efficiency of a Given PortfolioEconometrica, 1989