Bond and stock returns have been observed in the literature to exhibit unconditional skewness and temporal persistence in conditional skewness. We demonstrate that observed persistence in conditional third central moments can be due to the spillover of conditional variance dynamics. The...

We develop conditional alpha performance measures that are consistent with conditional mean-variance analysis and the magnitude and sign of the implied true conditional time-varying alphas. The sequence of conditional alphas and betas is estimable from surprisingly simple unconditional...

We develop conditional alpha performance measures that are consistent with conditional mean-variance analysis. Commonly employed conditional alpha measures are inconsistent with conditional mean-variance analysis, conditional Sharpe ratio maximization, the magnitude or sign of the true...