Beta, the Treynor ratio, and long-run investment horizons

Beta and Treynor ratios are computed for portfolios of small stocks, large stocks, and bonds for holding periods of 1 to 30 years. For both the stock and bond portfolios, beta, and the Treynor ratio change substantially with the holding period. Furthermore, the relative Treynor rankings of the portf...

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Bibliographic details
Volume: 13
Main Author: Hodges, Charles W
Taylor, Walton R. L
Yoder, James A
Format: Journal Article
Language: English
Place of publication: Taylor & Francis Group 01.01.2003
Taylor and Francis Journals
published in: Applied financial economics Vol. 13; no. 7; pp. 503 - 508
Data of publication: 1/1/2003
ISSN: 0960-3107
1466-4305
EISSN: 1466-4305
Discipline: Economics
Business
Series: Applied Financial Economics
Online Access: Fulltext
Database: RePEc IDEAS
RePEc
CrossRef
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