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Sickles, Robin Jin, Ick 2009-06-04T08:05:14Z 2009-06-04T08:05:14Z 2004 Jin, Ick. "Risk adjusted rate of return: Directional distance function approach." (2004) Diss., Rice University. <a href="https://hdl.handle.net/1911/18651">https://hdl.handle.net/1911/18651</a>. https://hdl.handle.net/1911/18651 THESIS ECON. 2004 JIN In this dissertation, the risk adjusted rate of return (RAROR) that utilizes the directional distance function (DDF) approaches is developed to integrate conventional RAROR in a consistent manner. The sensitivity and the probabilistic analysis for DDF-RAROR are also illustrated. The DDF-RAROR is used to evaluate security performance of media stocks (1997--2001). Conglomeration in media industry has attracted public concern for a century. The results indicate that stock investors prefer conglomerate stocks, and this preference is explained by the market sentiment rather than by the underlying business prospect. This observation is confirmed through both nonparametric ranking test and nonparametric regression technique. Especially, the underlying return on equity (ROE) significantly influences the corresponding security performance. 88 p. application/pdf eng Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder. Business administration Economics Finance Risk adjusted rate of return: Directional distance function approach Thesis Text Economics Social Sciences Rice University Doctoral Doctor of Philosophy open.access