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...

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 examine the ability of one- and two-factor regime switching models to describe U.S., developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

Different types of hedge funds tend to suffer poor abnormal returns simultaneously. Moreover, the likelihood of clustering in hedge fund left tail abnormal returns is positively related to negative liquidity shocks. These patterns have been interpreted as evidence that hedge funds suffer from...

We show that molecular variation in DNA related to cognition, personality, health, and body shape, predicts an individual's equity market participation and risk aversion. Moreover, the molecular genetic endowments predict individuals' return perceptions, most of which we find to be strikingly...