In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the...

In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the Hilbert space framework of Hansen and Richard (1987) to obtain new characterizations of the efficient portfolio frontier...

This paper tests for the presence of nonlinear dependence and chaos in real-time returns on four of the world's major stock market indices: the FTSE-100, the Samp;P 500, the Nikkei 225 and the DAX. Our results suggest that GARCH-type models can explain some but not all of the observed nonlinear...

This paper investigates the intra-day pattern of bid-ask spreads, volatility, and volume on the London Stock Exchange. The primary focus of the study is to relate the empirically observed regularities to specific institutional features of the trading system on the Exchange. We also examine the...

This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns...

Several studies have observed a lead-lag relationship between stock index futures and the cash market returns relying largely on the traditional linear tests for Granger causality. Recent research however suggests evidence of nonlinearities in futures and cash market returns. In this study,...

Several studies have examined the nature of the lead-lag relationship between returns in the stock index futures and the cash market. In a perfect market, both assets, which reflect the same underlying value, should react simultaneously to new information. In practice it is observed that the...

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...

We use a consumption-based asset pricing model with Epstein-Zin-Weil recursive preferences to explain the cross-section of excess returns on nominal US Treasury bond portfolios. We use a novel approach to extract the model factors from a FAVAR using a large panel; of macro and financial data. We...

We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios....