Sharpe, Jensen and Treynor composite measures are generally employed to measure the performance of a portfolio (or mutual fund). Friend and Blume [FB] have regressed the composite performance measure of random portfolios on the systematic risk (and standard deviation) to show that there exists strong bias in these composite performance measures. Employing actual mutual fund data, Klemkosky claims to have shown that the bias associated with composite performance measures using the semi-standard deviation and mean absolute deviation as risk surrogates is much smaller than that of the Sharpe, Jensen, and Treynor composite measures. Miller and Scholes have pointed out that both the functional form and skewness effect can affect the risk-return relation in capital asset pricing. Lintner has argued that the variance-return instead of the standard deviation-return relation is linearly related. However, one has never formally tested whether the functional form employed in investigating the risk-return relation is independent of different statistical risk proxies used. Furthermore, the impact of the skewness effect on the ex-post risk-return trade-off test has not been carefully investigated.

The paper first presents evidence on common stock returns autocorrelation and on the deterioration of the market model R2 as the returns measurement period is shortened. The empirical analysis uses returns intervals, ranging from 1 to 20 days, spanning an identical 1000 day period for a random sample of 20 NYSE firms in the Standard and Poor's 500. It is then shown that the negative R2, differencing interval relationship can be explained by the joint occurrence of negative autocorrelation in market index returns.

Our paper reports on tests of the weak form of the efficient markets hypothesis applied to spot foreign exchange contracts for the Canadian dollar, Swiss franc, Dutch guilder, German mark, British pound, and Japanese yen, during the period March, 1973, to August, 1973. We conclude that the evidence favors the efficient market hypotheses, and find that the behavior of one-day rates of return on spot contracts resembles the behavior noted for other speculative prices.

Bond Risk Premia, or synonymously, yield spreads have been the subject of numerous theoretical and empirical studies. These studies always measured the difference yield spread (DYS hereafter), usually in terms of U. S. Treasury Bonds, as shown in equation (1).

Purpose. The purpose of this paper is to examine the rate-of-return characteristics and risk-return relationships of low-priced, highly speculative securities and to compare these with those of so-called higher-quality issues. The capital asset pricing model is used as a framework for conducting this analysis.