Stochastic Dominance Analysis of iShares

Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio, respectively. This study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.Stochastic dominance; Sharpe ratio; skewness; country index funds

Divergence of opinion and risk : an empirical analysis of the Ex Ante beliefs of institutional investors

Bibliography: p. [24-25

Towards a reconciliation of the comparable earnings, DCF and CAPM approaches to public utility rate regulation : an empirical analysis / BEBR No. 612

Title page includes summary.Includes bibliographical references (leaves [20-21])

An analysis of business risk in commercial banking / BEBR no. 714

Title page includes summary.Includes bibliographical references (p. 19-20)

The impact of "Three Mile Island" upon electric utilities' cost of capital / BEBR No. 643

Includes bibliographical references (p. 25-26)

Forecasting for the electric utility industry : a comparison of alternative models

Includes bibliographical references (p. 15-16)

Estimating beta for non-market traded telephone companies

Includes bibliographical references (p. [3-4])

An event-time analysis of the Three Mile Island nuclear accident / 955

Includes bibliographical references (p. 12-14)

Risk, return and rate base valuation methods : an empirical analysis / BEBR No.872

Includes bibliographical references (p. 25-26).It has been observed that utility executives generally argue for inflation adjusted rate bases while consumer groups advocate original cost valuation methods. Recent analytic and empirical studies indicate that rate base valuation methods should not and do not account for differences in utilities' realized rates of return. However, there is evidence that CHANGES in valuation methods may cause changes in realized returns due to over or under compensation for the effects of inflation.This study examines the impact of changes in rate base evaluation methods on (1) expected shareholder returns, (2) realized shareholder returns, and (3) systematic risk. A unique time series data set and a new statistical procedure are used. Overall, the results are consistent with earlier studies. However, the results for utilities in one state provide support for the argument that investors fare better under fair value regulation