In this paper we study the predictability of aggregate consumption growth using common factors extracted from a large panel of macroeconomic and financial time series. The stochastic process followed by consumption growth and its predictability by other variables is a key assumption in...

In this paper, we investigate the value versus growth strategies from the perspective of stochastic dominance. Using half century US data on value and growth stocks, we find strong evidence that value stocks stochastically dominate growth stocks in all three-order of stochastic dominance...

We re-visit long-run performance after IPOs using a model-free stochastic dominance approach that allows us to compare the empirical distribution of portfolio payoffs while incorporating assumptions about investors' preferences. Our main results are as follows. First, we find that investors, who...

We study, using the idea of stochastic dominance, the long-run post merger stock performance of UK acquiring firms. We compare performance by using the entire distribution of returns rather than only the mean as in traditional event studies. Our main results are as follows: First, we find that,...

We examine an important aspect of empirical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real-world or simulated data implicitly incorporates conditioning information. We examine the bias created, in estimating the...