The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio

The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio

Journal: Air Transport Management

Author: I-Yuan Chuang, Yen-Chen Chiu. Edward Wang

Published: 2008

Abstract

Stock performance evaluation is an important subject widely studied for both theoretical and practical purposes. It is particularly relevant for the highly cyclical airline industry now in a financial crisis. Here it is shown that the use of conventional performance measures, such as the Sharpe ratio, could seriously mislead investors regarding stock performances of airline companies.

Keywords: Airlines, Asian financial crisis, Employee stock ownership plans, Modified Sharpe ratio, Value at risk

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