We use predictions of aggregate stock return variances from daily data to estimate time varying monthly variances for size-ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas. Implications of...

We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight events where abnormal returns have been documented, including...

Exact solutions are presented for the mean, variance, and skewness of compound portfolio returns, with and without periodic rebalancing, in a setting where single-period returns are symmetric. More frequent rebalancing reduces portfolio volatility and is unambiguously preferred by mean-variance...