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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
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
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
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
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