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- 저자 : SOO-WAH LOW (검색결과 2 건)
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Refinements to the Sharpe Ratio – Evidence from Malaysian Equity Funds
SOO-WAH LOW,YI-BING CHIN 연세대학교 동서문제연구원 2013 Global economic review Vol.42 No.1
We apply M-squared measure to evaluate the performance of Malaysian equity funds. Specifically, we show how financial leverage can be applied to increase the returns or to reduce the risk exposures of funds. Several alternative refinements to the original Sharpe ratio are also employed to evaluate the funds during periods of negative excess returns. We find that modified versions of Sharpe measure generally lead to similar performance rankings as the original Sharpe ratio. Our findings imply that while Sharpe ratio has experienced several methodological improvements, its basic underlying concept remains remarkably intact.
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International Evidence on the Link between Quality of Governance and Stock Market Performance
SOO-WAH LOW,SI-ROEI KEW,LAIN-TZE TEE 연세대학교 동서문제연구원 2011 Global economic review Vol.40 No.3
This paper examines the link between country-level governance and global stock market returns. We find a negative relation between governance quality and equity return. Countries with low governance scores, on average, have higher equity returns than those with high governance scores after controlling for global risk factors known to influence international equity returns. This implies that investors associate low governance quality with increased risk and thus demand higher risk premium. We find that the quality of governance as measured by Political Stability and Absence of Violence is key governance dimension affecting international equity returns, suggesting that heightened investor concerns over political risks have profound impact on equity markets. Interestingly, we find no evidence that variation in equity returns is affected by the governance indicator representing Voice and Accountability. The findings of this study provide important policy implications.
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