Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan

摘要

We compare performance evaluation of the TOPIX Core 30 of Japanese stocks by the performance evaluation index based on the economic index of riskiness of Aumann and Serrano (J Polit Econ 116:810-836, 2008) and the Sharpe ratio. The performance index of Aumann and Serrano, which can take into account high moments and disaster risk, is more relevant for risk-averse investors than the Sharpe ratio. The two performance indexes are, unlike the U.S. stocks, surprising similar in the majority of the stocks studied. However, there do exist contrasting stocks where the two performance indexes differ considerably, reflecting the underlying performance of stocks. Use of the two performance indexes together can result in better characterization of stocks.