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Evaluating Portfolio Performance with Stochastic Discount Factors
16 references·9 citing·40 second hop
Evaluating Portfolio Performance with Stochastic Discount Factors (1999)Evaluating Portfolio Performance with Sto…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Diversification, Integration and Emerging Market Closed‐End Funds (1996)Diversification, Integration …A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Mean-Variance Spanning (1987)Mean-Variance SpanningArbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (2014)A Unifying Approach to the Em…Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts (2011)Performance Measurement of Mu…Investment Performance Evaluation (2010)Investment Performance Evalua…The coskewness puzzle (2009)The coskewness puzzleConditional performance evaluation for German equity mutual funds (2008)Conditional performance evalu…An examination of alternative CAPM-based models in UK stock returns (2005)An examination of alternative…Costly information, diversification and international mutual fund performance (2003)Costly information, diversifi…Conditioning Information and European Bond Fund Performance (2003)Conditioning Information and …Conditioning Information and Variance Bounds on Pricing Kernels (2001)Conditioning Information and …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Economic Forces and the Stock Market (1986)A Test of the Efficiency of a Given Portfolio (1989)Cultural Biases in Economic Exchange? * (2009)Innovative efficiency and stock returns (2012)Organization Capital and the Cross‐Section of Expected Returns (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)An Empirical Investigation of the Arbitrage Pricing Theory (1980)Panels with Nonstationary Multifactor Error Structures (2006)MONEY, INCOME, AND CAUSALITY (1972)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
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  • 1987Mean-Variance Spanning590 cited
  • 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications440 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE439 cited
  • 1996

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Diversification, Integration and Emerging Market Closed‐End Funds
363 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • Cited by

    • 2010Investment Performance Evaluation77 cited
    • 2011Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts67 cited
    • 2003Conditioning Information and European Bond Fund Performance59 cited
    • 2005An examination of alternative CAPM-based models in UK stock returns56 cited
    • 2009The coskewness puzzle54 cited
    • 2014A Unifying Approach to the Empirical Evaluation of Asset Pricing Models46 cited
    • 2001Conditioning Information and Variance Bounds on Pricing Kernels39 cited
    • 2008Conditional performance evaluation for German equity mutual funds36 cited
    • 2003Costly information, diversification and international mutual fund performance35 cited