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Risk adjusted rate of return: Directional distance function approach

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Title: Risk adjusted rate of return: Directional distance function approach
Author: Jin, Ick
Advisor: Sickles, Robin C.
Degree: Doctor of Philosophy thesis
Abstract: In this dissertation, the risk adjusted rate of return (RAROR) that utilizes the directional distance function (DDF) approaches is developed to integrate conventional RAROR in a consistent manner. The sensitivity and the probabilistic analysis for DDF-RAROR are also illustrated. The DDF-RAROR is used to evaluate security performance of media stocks (1997--2001). Conglomeration in media industry has attracted public concern for a century. The results indicate that stock investors prefer conglomerate stocks, and this preference is explained by the market sentiment rather than by the underlying business prospect. This observation is confirmed through both nonparametric ranking test and nonparametric regression technique. Especially, the underlying return on equity (ROE) significantly influences the corresponding security performance.
Citation: Jin, Ick. (2004) "Risk adjusted rate of return: Directional distance function approach." Doctoral Thesis, Rice University. http://hdl.handle.net/1911/18651.
URI: http://hdl.handle.net/1911/18651
Date: 2004

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