Portfolio performance measurement using APM-free kernel models

Journal of Banking and Finance

Volumn 29, Issue 3, 2005, Pages 623-659

  Ayadi, Mohamed A ^a   Kryzanowski, Lawrence ^b  

^a BROCK UNIVERSITY   (Canada)

^b Canada   (Canada)

Author keywords

Conditional models; Generalized method of moments; Mutual fund returns; Performance measures; Stochastic discount factor; Survivorship bias

Indexed keywords

EID: 11344271724     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.05.022     Document Type: Article

References (74)

1. Admati A.R. Ross S.A. Measuring investment performance in a rational expectations equilibrium model Journal of Business 58 1985 1-26
2. Aït-Sahalia Y. Brandt M.W. Variable selection and portfolio choice Journal of Finance 56 2001 1297-1351
3. Andrews D.W.K. The block-block bootstrap: Improved asymptotic refinements Econometrica 72 2004 673-700
4. Bansal, R., Harvey, C.R., 1996. Performance evaluation in the presence of dynamic trading strategies. Working Paper, Duke University
5. Barberis N.C. Investing for the long run when returns are predictable Journal of Finance 55 2000 225-264
6. Bekaert G. Hodrick R.J. Characterizing predictable components in excess returns on equity and foreign exchange markets Journal of Finance 47 1992 467-509
7. Bekaert G. Liu J. Conditioning information and variance bounds on pricing kernels Review of Financial Studies 17 1999 379-404
8. Brandt M.W. Estimating portfolio and consumption choice: A conditional euler equations approach Journal of Finance 54 1999 1609-1645
9. Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities Journal of Financial Economics 7 1979 265-296
10. Brennan M.J. Schwartz E.S. Lagnado R. Strategic asset allocation Journal of Economic Dynamics and Control 21 1997 1377-1403
11. Brown S.J. Goetzman W.N. Performance persistence Journal of Finance 50 1995 679-698
12. Campbell J.Y. Viceira L.M. Consumption and portfolio decisions when expected returns are time-varying Quarterly Journal of Economics 114 1999 433-495
13. Carhart M. On persistence in mutual fund performance Journal of Finance 52 1997 57-82
14. Carhart M. Carpenter J. Lynch A.W. Musto D.K. Mutual fund survivorship Review of Financial Studies 15 2002 1439-1463
15. Carlstein E. The use of subseries values for estimating the variance of a general statistic from a stationary sequence Annals of Statistics 14 1986 1171-1179
16. Chen N.F. Roll R. Ross S.A. Economic forces and the stock market Journal of Business 59 1986 383-403
17. Chen Z. Knez P.J. Portfolio performance measurement: Theory and applications Review of Financial Studies 9 1996 511-555
18. Christopherson J.A. Ferson W.E. Glassman D.A. Conditioning manager alphas on economic information: Another look at the persistence of performance Review of Financial Studies 11 1998 111-142
19. Cochrane J.H. A cross-sectional test of an investment-based asset pricing model Journal of Political Economy 104 1996 572-621
20. Cochrane, J.H., 2000. A resurrection of the stochastic discount factor/GMM methodology. Working Paper, University of Chicago
21. Cumby R.E. Glen J.D. Evaluating the performance of international mutual funds Journal of Finance 45 1990 497-521
22. Dahlquist M. Soderlind P. Evaluating portfolio performance with stochastic discount factors Journal of Business 72 1999 347-384
23. Dybvig P.H. Ross S.A. Performance measurement using differential information and a security market line Journal of Finance 40 1985 483-496
24. Elton E.J. Gruber M.J. Blake C.R. Survivorship bias and mutual fund performance Review of Financial Studies 9 1996 1097-1120
25. Fama E.F. French K.R. Dividend yields and expected stock returns Journal of Financial Economics 22 1988 3-25
26. Fama E.F. French K.R. Business conditions and expected stock returns Journal of Financial Economics 25 1989 23-50
27. Fama E.F. French K.R. Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 1993 3-56
28. Fama E.F. Schwert G.W. Asset returns and inflation Journal of Financial Economics 5 1977 115-146
29. Farnsworth H. Ferson W.E. Jackson D. Todd S. Performance evaluation with stochastic discount factors Journal of Business 75 2002 473-503
30. Ferson W.E. Foerster S.R. Small sample properties of the GMM in tests of conditional asset pricing models Journal of Financial Economics 36 1994 29-55
31. Ferson W.E. Harvey C.R. The variation of economic risk premia Journal of Political Economy 99 1991 385-415
32. Ferson W.E. Korajczyk R.A. Do arbitrage pricing models explain the predictability of stock returns Journal of Business 68 1995 309-350
33. Ferson W.E. Schadt R. Measuring fund strategy and performance in changing economic conditions Journal of Finance 51 1996 425-461
34. Ferson W.E. Siegel A.F. The efficient use of conditioning information in portfolios Journal of Finance 56 2001 967-982
35. Gallant A.R. White H. A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models 1988 Basil Blackwell New York
36. Glosten L. Jagannathan R. A contingent claims approach to performance evaluation Journal of Empirical Finance 1 1994 133-166
37. Goldbaum D. A nonparametric examination of market information: Application to technical trading rules Journal of Empirical Finance 6 1999 59-85
38. Grinblatt M. Titman S. Portfolio performance evaluation: Old issues and new insights Review of Financial Studies 2 1989 393-422
39. Grinblatt M. Titman S. A study of monthly mutual funds returns and performance evaluation techniques Journal of Financial and Quantitative Analysis 29 1994 419-444
40. Hall P. Horowitz J.L. Bootstrap critical values for tests based on generalized method of moments estimators Econometrica 64 1996 891-916
41. Hansen L.P. Large sample properties of generalized method of moments estimators Econometrica 50 1982 1029-1054
42. Hansen L.P. Richard S.F. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models Econometrica 55 1987 587-613
43. Hansen L.P. Singleton K.J. Generalized instrumental variable estimation of nonlinear rational expectations models Econometrica 50 1982 1269-1286
44. Harrison M. Kreps D. Martingales and arbitrage in multiperiod security markets Journal of Economic Theory 20 1979 381-408
45. Harvey C.R. Time-varying conditional covariances in tests of asset pricing models Journal of Financial Economics 24 1989 289-318
46. He J. Ng L. Zhang C. Asset pricing specification errors and performance evaluation European Finance Review 3 1999 205-232
47. Jagannathan R. Wang Z. The conditional CAPM and the cross-section of expected returns Journal of Finance 51 1996 3-35
48. Jagannathan R. Wang Z. Empirical evaluation of asset-pricing models: A comparison of the SDF and Beta methods Journal of Finance 57 2002 2337-2367
49. Jensen M.C. The performance of mutual funds in the period 1945-1964 Journal of Finance 23 1968 346-389
50. Kan R. Zhang C. GMM tests of stochastic discount factor models with useless factors Journal of Financial Economic 54 1999 103-127
51. Kan R. Zhou G. A critique of the stochastic discount factor methodology Journal of Finance 54 1999 1221-1248
52. Kandel S. Stambaugh R.F. On the predictability of stock returns: An asset allocation perspective Journal of Finance 51 1996 385-424
53. Koenker R. Machado J.A.F. GMM inference when the number of moment conditions is large Journal of Econometrics 43 1999 327-344
54. Koutoulas G. Kryzanowski L. Macrofactor conditional volatilities, time-varying risk premia and stock return behavior Financial Review 31 1996 169-195
55. Kryzanowski, L., Lalancette, S., 1996. Conditional performance evaluation of portfolios with linear and nonlinear payoffs. Working Paper, Concordia University
56. Kryzanowski L. Zhang H. Economic forces and seasonality in security returns Review of Quantitative Finance and Accounting 1 1992 227-244
57. Kryzanowski L. Lalancette S. To M.C. Performance attribution using an APT with prespecified macrofactors and time-varying risk premia and betas Journal of Financial and Quantitative Analysis 32 1997 205-224
58. Künsch H.R. The Jacknife and the bootstrap for general stationary observations Annals of Statistics 17 1989 1217-1241
59. Lehmann B.N. Modest D.M. Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons Journal of Finance 42 1987 233-265
60. Lucas R. Asset prices in exchange economy Econometrica 46 1978 1429-1445
61. Luttmer E.G.L. Asset pricing in economies with frictions Econometrica 64 1996 1439-1467
62. Malkiel B.G. Returns from investing in equity mutual funds 1971-1991 Journal of Finance 50 1995 549-572
63. Merton R.C. An intertemporal capital asset pricing model Econometrica 41 1973 867-887
64. Merton R.C. On market timing and investment performance I: An equilibrium theory of market forecasts Journal of Business 54 1981 363-406
65. Newey W.K. Efficient estimation of models with conditional moment restriction Handbook of Statistics 11 1993 445-519
66. Newey W.K. West K.D. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
67. Newey W.K. West K.D. Hypothesis testing with efficient method of moments estimation International Economic Review 28 1987 777-787
68. Priestley M.B. Spectral Analysis and Time Series 1981 Academic Press New Yorke
69. Roll R. A critique of the asset pricing theory's tests; Part I: On past and potential testability of the theory Journal of Financial Economics 4 1977 129-176
70. Roll R. Ambiguity when performance is measured by the security market line Journal of Finance 38 1978 1051-1069
71. Ross S.A. Arbitrage theory of capital asset pricing Journal of Economic Theory 13 1976 341-360
72. Schwert G.W. Why does stock market volatility change over time? Journal of Finance 44 1989 1115-1153
73. Sharpe W.F. Capital asset prices: A theory of market equilibrium under conditions of risks Journal of Finance 19 1964 425-442
74. Wermers, R., 1997. Momentum investment strategies of mutual funds, performance persistence, and survivorship bias. Working Paper, University of Colorado at Boulder