This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

This paper re-examines the issue of mean-reversion in the Indian equity market. Unlike earlier studies, the present paper carries out a multiple structural breaks test and uses a new and disaggregated data set. The study found significant structural breaks in the returns series of all selected...

In weekly intervals, the Swiss stock research firm Obermatt publishes the top 10 stocks in a stock index based on four different investment strategies. This report describes the results of a back testing of this method. It uses prior year year-end financials to identify top 10 stock tips for a...

This paper estimates and tests the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005, 2009) based on stock market data. We introduce a novel methodology to estimate the conditional expectation which characterizes the impact of a decision maker's ambiguity attitude on asset...

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...