Investment performance of canadian real estate stocks using sharpe's performance index

The investment performance of a Canadian portfolio of Canadian public real estate companies is analyzed over the period 1971–79. Using Sharpe's index of performance, it would appear at first sight that this portfolio exhibited remarkable superior performance. Moreover, this conclusion is not due to some peculiarity of the Sharpe measure: results using Treynor's measure suggest a similar conclusion. We then apply the significance tests recently recommended by Jobson and Korkie (1981). When their preferred test is applied, we are unable to reject the null hypothesis that the real estate portfolio did not exhibit superior investment performance. This result illustrates the necessity of performing adequate statistical significance tests whenever investment performance is being evaluated.     

Error analysis of some normal approximations to the chi-square distribution

The chi-square distribution is one of the most widely used probability distributions; thus many functions have been advanced as approximations to the chi-square cumulative distribution function. One measure of the quality of an approximation is the maximum absolute error of the associated error function. This paper investigates the error functions for three normal approximations to the chi-square cumulative distribution function, those offered by Fisher, Wilson-Hilferty, and Kelley. In particular, a technique is developed for each approximation to find the maximum absolute error for fixed degrees of freedom. The maximum absolute error for each approximation and certain degrees of freedom is tabled.     

Reviews

“Urban unemployment”

Hasluck, C., 1987: Urban Unemployment: Local labour markets and employment initiatives. London, Longman, £6.95 paper.

“Property and industrial development”

Fothergill, S., Monk, S. and Perry, M. 1387: Property and Industrial Development London: Hutchinson, £12.95 paper.

“High-tech”

Breheny, M. J. and McQuaid, R. W. 1987: The Development of High Technology Industries: An International Survey. London: Croom Helm, £35.00.

Monde, C. (ed), 1986: Science Parks -- Their Contribution to Economic Growth. Birmingham: UK Science Parks Association, £15.00 paper.

“American perspectives”

Bergman, Edward M. Editor 1986: Local Economies in Transition: Policy Realities and Development Potentials. Durham, NC: Duke University Press, $40.00 cloth, $16.95, paper.

“Marginal regions”

O'Cearbhaill, D. and Cawley, M. (editors) 1986: New approaches to the development of Marginal Regions, 8th International Seminar on Marginal Regions in association with University College Galway, 3 Vote: no price stated.

“Training without jobs”

Finn, Dan 1987: Training Without Jobs:New Deals and Broken Promises:From Raising the School Leaving Age to the Youth Training Scheme. London: Macmillan £6.95.

“The coopera tive workplace”

Rothschild, J. and Whitt, A. J. 1986: The Cooperative Workplace: potentials and dilemmas of organizational democracy and participation. USA: American Sociological Association Rose Monograph Series, Cambridge University Press. No price stated.

“Opposition to plant closures”

Maunders, A. 1986: A Process of Struggle. Aldershot: Gower £20.00 cloth.

“Property data”

Investment Property Databank, 1987: The IPD Annual Review 1987 London, £45.

“Urban economic development”

Hausner.V. A. (editor) 1987: Critical Issues in Urban Economic Development. Volume II. Oxford: Clarendon Press, £22.50 hardback.     

The British economy in 1975 revisited

Thirteen years ago a medium-term economic forecast was published, The British Economy in 1975 by W. Beckerman et al. This article assesses the study, the reasons for its lack of success, and their implications for medium-term economic forecasting in general.     

Assimilating earnings and split information: Is the capital market becoming more efficient?

Recent studies have implied that the capital market has become more efficient with respect to the announcements of stock splits and corporate earnings. This study calculated residual returns associated with these announcements and then tested, by time period (early and late years), for a between period difference. The results suggest that for certain earnings and split announcements the market is no more efficient than it has been in the past.     

From skyhooks to walking sticks: on the road to nonrational decision making

The amount of information that should be processed to reach a rational solution is so vast that it overwhelms our limited memory and analytic capacity. To grapple at all with real problems, we must shrink them to mind size. As Nobel Laureate Herbert Simon has suggested, we must learn to "satisfice." Using examples and a case history of managerial succession, Agnew and Brown demonstrate the importance of nonrational factors in decision making. "Skyhooks," their first major concept, are composed of an individual's strong beliefs and biases that appear almost as acts of faith without any obvious foundation. They help the exceptional executive operate on a limited set of alternatives. But while skyhooks give direction, they do not provide the means to reach a destination. Simpler conceptual models, or "walking sticks," are necessary to cover the rocky trails. Agnew and Brown offer four walking sticks that can be applied to managerial succession problems. The first walking stick considers executive decision making in three parts--nonrational, semirational, and rational--and covers the conditions in which each component comes into play. The second helps examine human resources as fixed or fluid and as assets or liabilities to develop a schema for manpower accounting in executive succession. Playing vs. talking a good executive game is the topic for walking stick three. The concern here is to distinguish the real players--who can manage systems--from the mere talkers, who can manage only fragments of systems. The fourth walking stick draws on the law of resource gravitation and crystallization, a law with implications for trainers: You can't fashion management training to fit all comers; instead, you must tailor it to what the trainees already are and know.