[This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...

This paper analyzes the predictability of different style portfolio returns (a.k.a. Fama-French factors) considering time-varying sensitivities of these returns to different macroeconomic variables and own momentums. Styles, as used in this paper, can be defined as groups of securities with a...

This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...

This paper examines the portfolio choice implications of incorporating parameter and model uncertainty in (conditionally) linear factor models using industry portfolios. I examine a CAPM, a linear factor model with different predictor variables (dividend yield, price to book ratio, price to...

This paper analyzes the predictability of different style portfolio returns. Styles, as used in this paper and Barberis and Shleifer (2003), can be defined as groups of securities with a common characteristic, such as value (Graham and Dodd (1934)) and size (Banz (1979)). I specifically look at...

Abstract In many textbooks, an important assumption difference between the standard picture for block pricing and the intuitive discussions on this pricing scheme is often ignored. This practice leads the students to misunderstand this picture as an illustration for price discrimination against...

Purpose - The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach - The absolute return profiles are identified using properties of the empirical distributions of fund returns. The...

Purpose – The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach – The absolute return profiles are identified using properties of the empirical distributions of fund returns....