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Performance Evaluation with Stochastic Discount Factors
16 references·2 citing·39 second hop
Performance Evaluation with Stochastic Discount Factors (2002)Performance Evaluation with Stochastic Di…Active Portfolio Management (2017)Active Portfolio ManagementOn Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES (2005)AN INTERTEMPORAL ASSET PRICIN…The Performance of Mutual Funds in the Period 1945-1964 (2002)The Performance of Mutual Fun…Conditional Market Timing with Benchmark Investors (1998)Conditional Market Timing wit…Survivorship Bias and Mutual Fund Performance (1997)Survivorship Bias and Mutual …Portfolio Performance Measurement: Theory and Applications (1996)Portfolio Performance Measure…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? (1995)Do Arbitrage Pricing Models E…A Cross-Sectional Test of a Production-Based Asset Pricing Model (1992)A Cross-Sectional Test of a P…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Performance Measurement with The ArbitragePricing TheoryA New Framework for Analysis (1986)Performance Measurement with …Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1985)Mutual Fund Performance Evalu…Nonparametric assessment of hedge fund performance (2019)Nonparametric assessment of h…Stochastic Discount Factor Bounds with Conditioning Information (2002)Stochastic Discount Factor Bo…Mutual Fund Performance (1966)Martingales and arbitrage in multiperiod securities markets (1979)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (2001)Green and Good? The Investment Performance of US Environmental Mutual Funds (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Cross-Section of Expected Stock Returns (1992)Conditioning Variables and the Cross-Section of Stock Returns (1999)Liquidity biases in asset pricing tests☆ (2010)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)All experience is not created equal: learning, adapting, and focusing in product portfolio management (2011)Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes (2011)Financial Advice and Individual Investor Portfolio Performance (2012)Robust Permanent Income and Pricing (1999)The Equity Premium in Retrospect (2003)The Accrual Anomaly: Risk or Mispricing? (2011)Spillovers of stock return volatility to Asian equity markets from Japan and the US (2003)The Euro and European financial market dependence (2007)Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)
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References

  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies498 cited
  • 2017Active Portfolio Management463 cited
  • 1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?343 cited
  • 1996Portfolio Performance Measurement: Theory and Applications310 cited
  • 2002The Performance of Mutual Funds in the Period 1945-1964270 cited
  • 1995The World Price of Foreign Exchange Risk265 cited
  • 1998Conditional Market Timing with Benchmark Investors262 cited
  • 1986Performance Measurement with The ArbitragePricing TheoryA New Framework for Analysis215 cited
  • 2005AN INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES148 cited
  • 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons135 cited
  • 1997Survivorship Bias and Mutual Fund Performance

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131 cited
  • 1992A Cross-Sectional Test of a Production-Based Asset Pricing Model62 cited
  • Cited by

    • 2019Nonparametric assessment of hedge fund performance33 cited
    • 2002Stochastic Discount Factor Bounds with Conditioning Information31 cited