This paper assesses the selection and timing abilities of 130 equity mutual funds using a conditional APT model with specified macrofactors, and time-varying risk premia and betas. For all fund categories based on investment objectives, a significant proportion of the funds exhibits negative...

This paper assesses the selection and timing abilities of 130 equity mutual funds using a conditional APT model with specified macrofactors, and time-varying risk premia and betas. For all fund categories based on investment objectives, a significant proportion of the funds exhibits negative...

Cross-sectional and time-series tests using mimicking portfolios are used to assess the exactness of the APT with(out) a residual market factor. The first factor seems to be sufficient to span the efficient set, whether the model is estimated using (un)conditional variance-co-variance matrices...

The Jobson-Korkie (1981) Z score and the positive period weighting (PPW) score of Grinblatt and Titman (1989) are applied to various benchmarks of market and mimicking portfolios to study the benchmark invariancy problem. Significantly different portfolio performance inferences are found for a...