Risk adjusted rate of return: Directional distance function approach

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.

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

Doctoral

Discipline thesis:degree_discipline

Social Sciences

Grantor

Rice University

Year dc:date.issued

2004

Author dc:creator

• Jin, Ick

Advisor dc:contributor.advisor

• Sickles, Robin

• Business administration
• Economics
• Finance

Statement dc:rights

• Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1911/18651

OAI identifier oai:identifier

oai:repository.rice.edu:1911/18651