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Annals of Operations Research

, Volume 262, Issue 2, pp 287–306 | Cite as

Measurement errors in stock markets

  • Hachmi Ben AmeurEmail author
  • Fredj Jawadi
  • Abdoulkarim Idi Cheffou
  • Wael Louhichi
S.I.: Financial Economics

Abstract

This paper points to further measurement errors in stock markets. In particular, we show that the application of usual performance ratios to evaluate financial assets can lead to inappropriate findings and consequently wrong conclusions. To this end, we analyze standard performance ratios as well as extreme loss-based financial ratios and compare the conclusions with those provided by systemic risk measures. The application of these different measures to both conventional and Islamic stock indexes for developed and emerging countries in the context of the financial crisis yields two interesting results. First, the analysis of financial performance exhibits further measurement errors. Second, the consideration of extreme loss and systemic risk in computing performance measures increases the reliability of performance analysis.

Keywords

Measurement error Financial performance Systemic risk Var  CoVaR and MES 

JEL Classification

C2 C5 G10 

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  • Hachmi Ben Ameur
    • 1
    Email author
  • Fredj Jawadi
    • 2
  • Abdoulkarim Idi Cheffou
    • 3
  • Wael Louhichi
    • 4
  1. 1.INSEEC Business SchoolParisFrance
  2. 2.UFR Sciences de Gestion et Sciences SocialesUniversit of EvryEvryFrance
  3. 3.EDC Paris Business SchoolCourbevoieFrance
  4. 4.ESSCA Business SchoolAngersFrance

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