Economic tracking portfolios

Journal of Econometrics

Volumn 105, Issue 1, 2001, Pages 161-184

  Lamont, Owen A ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Economic news; Factor models; Forecasting; Portfolio theory

Indexed keywords

EID: 0001705082     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00074-4     Document Type: Article

References (38)

1. Balduzzi, P., Robotti, C., 1999. Minimum variance kernels and economic risk premia. Boston College Working paper.
2. Becker, T., Gelos, R.G., Richards, A.J., 2000. Devaluation expectations and the stock market: the case of Mexico in 1994/95. International Monetary Fund Working paper.
3. Boudoukh, J., Richardson, M., Whitelaw, R.F., 1994. Industry returns and the Fisher effect. Journal of Finance 49, 1595-1616.
4. Breeden, D.T., 1979. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7, 265-296.
5. Breeden, D.T., Gibbons, M.R., Litzenberger, R., 1989. Empirical tests of the consumption-oriented CAPM. Journal of Finance 44, 231-262.
6. Britten-Jones, M., 1999. Changing risk aversion: linking the cross-section and time-variation in expected returns. London Business School Working paper.
7. Campbell, J.Y., 1991. A variance decomposition for stock returns. Economic Journal 101, 157-179.
8. Campbell, J.Y., 1996. Understanding risk and return. Journal of Political Economy 104, 267-297.
9. Campbell, J.Y., Ammer, J., 1993. What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance 48, 3-38.
10. Campbell, J.Y., Mei, J., 1993. Where do betas come from? Asset price dynamics and the sources of systematic risk. Review of Financial Studies 6, 567-592.
11. Carhart, M.M., 1997. On the persistence of mutual fund performance. Journal of Finance 52, 57-82.
12. Chan, L.K.C., Karceski, J., Lakonishok, J., 1998. The risk and return from factors. Journal of Financial and Quantitative Analysis 33, 159-188.
13. Chen, N., Roll, R., Ross, S.A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
14. Christoffersen, P., Ghysels, E., Swanson, N.R., 2000. Let's get real about using economic data. McGill University Working paper.
15. Christoffersen, P., Slok, T., 2000. Do asset prices in transition countries contain information about future economic activity? IMF Working paper.
16. Davis, S.J., Willen, P., 1998. Using financial assets to hedge labor income risks: estimating the benefits. Working paper, University of Chicago.
17. Diebold, F.X., Lopez, J.A., 1996. Forecast evaluation and combination. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Vol. 14. North-Holland, Amsterdam, pp. 241-268.
18. Diebold, F.X., Rudebusch, G.D., 1991. Forecasting output with the composite leading index: a real-time analysis. Journal of the American Statistical Association 86, 603-610.
19. Fama, E.F., 1975. Short-term interest rates as predictors of inflation. American Economic Review 65, 269-282.
20. Fama, E.F., 1981. Stock returns, real activity, inflation, and money. American Economic Review 71, 545-565.
21. Fama, E.F., 1990. Stock returns, expected returns, and real activity. Journal of Finance 45, 1089-1108.
22. Fama, E.F., Kenneth R. French, 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
23. Ferson, W.E., Harvey, C.R., 1991. The variation of economic risk premiums. Journal of Political Economy 99, 385-415.
24. Hamilton, J.D., 1994. Time Series Analysis, Princeton University Press, Princeton, NJ.
25. Hayes, S., 1999. Leading indicator information in UK equity returns: an assessment of economic tracking portfolios. Bank of England Working paper.
26. Huberman, G., Kandel, S., Stambaugh, R.F., 1987. Mimicking portfolios and exact arbitrage pricing. Journal of Finance 42, 1-9.
27. Jagannathan, R., Wang, Z., 1996. The conditional CAPM and the cross-section of expected returns. Journal of Finance 51, 3-53.
28. Lamont, O.A., 1999. Economic Tracking Portfolios. NBER Working paper 7055.
29. McQueen, G., Roley, V.V., 1993. Stock prices, news, and business conditions. Review of Financial Studies 6, 683-707.
30. Ogaki, M., 1993. Generalized method of moments: econometric applications. In: Maddala, G.S., Rao, C.R., Vinod, H.D. (Eds.), Handbook of Statistics, Vol. 11. North-Holland, Amsterdam, pp. 455-488.
31. Schwert, G.W., 1990. Stock returns and real activity: a century of evidence. Journal of Finance 45, 1237-1257.
32. Sharpe, W.F., 1982. Some factors in New York Stock Exchange security returns, 1931-1979. Journal of Portfolio Management 8, 5-19.
33. Shiller, R.J., 1993. Macro Markets, Oxford University Press, Oxford, UK.
34. Shiller, R.J., Athanasoulis, S., 1995. World income components: measuring and exploiting international risk sharing opportunities. NBER Working paper No. 5095.
35. Stock, J., Watson, M.W., 1989. New indexes of coincident and leading economic indicators. In: Blanchard, O.J., Fischer, S. (Eds.), NBER Macroeconomics Annual 1989. University of Chicago Press, Chicago, pp. 351-394.
36. Titman, S., Warga, A., 1989. Stock returns as predictors of interest rates and inflation. Journal of Financial and Quantitative Analysis 24, 47-57.
37. Vassalou, M., 2000. News related to future GDP growth as risk factors in equity returns. Columbia University Working paper.
38. West, K.D., McCracken, M.W., 1998. Regression-based tests of predictive ability. International Economic Review 39, 817-840.