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Stetige versus diskrete Renditen Überlegungen zur richtigen Verwendung beider Begriffe in Theorie und Praxis
Credit and Capital Markets – Kredit und Kapital, Vol. 35 (2002), Iss. 2 : pp. 216–241
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Gregor Dorfleitner, Augsburg
Cited By
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Rating changes revisited: New evidence on short-term ESG momentum
Cauthorn, Thomas
Dumrose, Maurice
Eckert, Julia
Klein, Christian
Zwergel, Bernhard
Finance Research Letters, Vol. 54 (2023), Iss. P.103703
https://doi.org/10.1016/j.frl.2023.103703 [Citations: 3]
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Abstract
Log Returns Versus Simple Returns Delibrations on How to Use Both Terms Properly in Theory and in Practice
This article analyses the differences between log and simple returns. Such differences are of great importance in many fields of capital market theory and financial management as far as stochastic and statistical properties are concerned. The article also addresses the question of annualising and estimating the variances and co-variances. On the basis of a practical example, the proper handling of both terms is shown. In addition, the article contains a few examples concerning non-intuitive facts, including one that proves a possible (4, o) dominance inversion when changing from the simple to the log return notion