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Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10012469262

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne E. - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Persistent link: https://www.econbiz.de/10012466570

Performance Evaluation with Stochastic Discount Factors

Farnsworth, Heber - 2002

managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF …

Persistent link: https://www.econbiz.de/10012469924

Conditioning Manager Alphas on Economic Information : Another Look at the Persistence of Performance

Christopherson, Jon A. - 1996

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on … investment performance of pension fund managers persists over time. A conditional approach is able to better detect this … especially concentrated in the managers with negative prior-period conditional alphas. " …

Persistent link: https://www.econbiz.de/10012472998

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...

Persistent link: https://www.econbiz.de/10012474312