A Bayesian approach is used to investigate a sample’s information about a portfolio’s degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio...

An equilibrium pricing model with time-varying conditional moments of consumption growth is used to analyze the behavior of conditional moments of stock returns for long and short investment horizons. We examine the behavior over time of estimates of the conditional means and variances of...

We find that several ex ante observable variables based on asset price levels predict ex post risk premiums on common stocks of NYSE firms of various sizes, long-term bonds of various default risks, and U.S. Government bonds of various maturities. The predictive ability is consistent over the...