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Performance Evaluation, Pension Funds, Conditioning, Portfolio Weights
Asset pricing, Factor models, Cross-sectional regressions, Arbitrage portfolios, Anomalies
Mutual funds, Market timing, Bond funds, Investment performance evaluation
Performance evaluation, stochastic discount factors, mutual funds, conditional asset pricing
alpha, performance measurement, investor heterogeneity, mutual funds, fund flows
Fixed income, mutual funds
International asset pricing, fundamental ratios, country risk, time-varying risk, valuation
G11, G12, G23
Long-run risk models, Out-of-sample, Equity premium puzzle, Size effect, Book to market effect, Momentum, Reversals, Term premium, Default premium
Long-run risk models, Out-of-sample performance
volatility bounds, stochastic discount factors, finite sample bias, asset pricing, return
This is a Now Publishers (01/14-3995) paper. Now Publishers (01/14-3995) charges $39.95 .
File name: SSRN-id1624985.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Portfolio performance, mutual fund performance, hedge funds, managed portfolios
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm657.
mutual funds, hedge funds, bond funds, stochastic discount factors, portfolio holdings, bootstrap, market efficiency, portfolio management
Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management
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