This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...

Mutual funds in the same category compete in a series of annual tournaments for a place at the top of year-end performance-based rankings. One effect implies that losing funds increase their risk more than winning funds, hoping to climb in the rankings. Another effect involves a rational...

The empirical results in recent finance literature reveal that conditional performance measures generally improve our perception of fund managers. Furthermore, it has been shown that using daily data in an unconditional framework increases the proportion of abnormal performances relative to...

We show how to use asset market data to restrict the admissible region for the first-order autocorrelation of the stochastic discount factor (SDF). We interpret this statistic as a measure of a model's economic time variation across two periods. Estimating bounds for nominal and real SDFs at...

Asset returns implicitly contain information about the systematic and nonsystematic risks in an economy. Based solely on the law of one price condition, we extract this information by using a mean-variance frontier decomposition of returns, and exploit it to improve the assessment of...

This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....

The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parameterization exhibited by the problem, usually referred to as the "curse of dimensionality." For the VEC family, the number of parameters involved in the model grows as a polynomial of...

This paper investigates to what extent the U.S. presidential cycle can spillover across borders and affect the actions of global investors. Using data from 2000 to 2022 on G10 countries, we show that, on average, the annualized equity premium is 6.1% higher and the net monthly percentage equity...

This paper studies investor disagreement in the performance evaluation of equity mutual funds by comparing two existing approaches and estimating its relations with fund characteristics, active management level and fund flows. We find that investors disagree more about the performance of funds...