This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

In this paper, we report the first empirical tests concerning the performance of international investment strategies recommended by a panel of investment houses from 1982 through 2001. The data for this study comes from surveys published in the Financial Report, a confidential newsletter...

The existence and implications of asymmetric information in financial markets have been the subject of extensive research in the finance literature. Two of the major propositions in this literature are that (1) corporate insiders take advantage of asymmetric information by trading on their...

A central question in finance is how to measure portfolio performance. We assert that foresight (i.e., the ability of managers to forecast relative returns) and commitment (i.e., the aggressiveness with which managers act on their foresight) are necessary ingredients to generate portfolio...

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...

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...

We provide a brief review of the techniques that are based on the Generalized Method of Moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them. We...