Comparing and Selecting Performance Measures Using Rank Correlations

31 Pages Posted: 8 Jun 2011

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Francesco Lisi

University of Padua - Department of Statistical Sciences

Multiple version iconThere are 2 versions of this paper

Date Written: 2011

Abstract

The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance measures over more than one thousand of equities included in the Standard & Poor's 1500 index. They evaluate performance measures by mean of rank correlations, exploiting the possible dynamic evolution of the rank correlations, and proposing a method for the identification of the subset of measures which are not equivalent. Their empirical study highlights that recent and more flexible measures provide different asset ranks compared to classical approaches, and that the set of equivalent performance measures is not stable over time.

Keywords: performance measurement, rank correlations, comparing performance measures

JEL Classification: C10, G11, C40

Suggested Citation

Caporin, Massimiliano and Lisi, Francesco, Comparing and Selecting Performance Measures Using Rank Correlations (2011). Economics Discussion Paper No. 2011-14, Available at SSRN: https://ssrn.com/abstract=1859869 or http://dx.doi.org/10.2139/ssrn.1859869

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Francesco Lisi

University of Padua - Department of Statistical Sciences ( email )

V. Cesare Battisti, 241
Padova, 35122
Italy
+39 049 8274182 (Phone)
+39 049 8274170 (Fax)

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