Multifactor efficiency and Bayesian inference

Journal of Business

Volumn 79, Issue 6, 2006, Pages 2951-2998

  Martijn Cremers, K J ^a  

^a YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847060858     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/508005     Document Type: Article

References (58)

1. Ahn, Seung C., and Christopher Gadarowski. 1999. Small sample properties of the model specification test based on the Hansen-Jagannathan distance. Journal of Empirical Finance 11: 109-32.
2. Avramov, Doron, and John C. Chao. 2006. An exact Bayes test of asset pricing with application to international markets. Journal of Business 79:293-323.
3. Banz, Rolf W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9:3-18.
4. Basu, Sanjoy. 1983. The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics 12:129-56.
5. Berk, Jonathan B. 2000. Sorting out sorts. Journal of Finance 55, no. 1:407-27.
6. Black, Fisher. 1972. Capital market equilibrium with restricted borrowing. Journal of Business 45:444-55.
7. Breeden, Douglas T. 1979. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7:265-96.
8. Brown, Stephen J., and William N. Goetzmann. 1997. Mutual fund styles. Journal of Financial Economics 43:373-99.
9. Campbell, John Y. 1993. Intertemporal asset pricing without consumption data. American Economic Review 83:487-512.
10. _. 1996. Understanding risk and return. Journal of Political Economy 104, no. 2:298-345.
11. Campbell, John Y., and John Cochrane. 2000. Explaining the poor performance of consumption-based asset pricing models. Journal of Finance 55:2863-78.
12. Carhart, Mark M. 1997. On the persistence in mutual fund performance. Journal of Financial Economics 52:57-82.
13. Daniel, Kent, and Sheridan Titman. 1997. Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52:1-34.
14. Daniel, Kent, Sheridan Titman, and K. C. John Wei. 2001. Explaining the cross-section of stock returns in Japan: Factors or characteristics? Journal of Finance 55:743-66.
15. Davis, James L., Eugene F. Fama, and Kenneth R. French. 2000. Characteristics, covariances, and average returns, 1929-1997. Journal of Finance 55:389-406.
16. Fama, Eugene. 1976. Foundations of Finance. New York: Basic.
17. _. 1996. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis 31, no. 4:441-65.
18. Fama, Eugene F., and Kenneth R. French. 1992. The cross-section of expected returns. Journal of Finance 47:427-65.
19. _. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33:3-56.
20. _. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51:55-84.
21. Ferson, Wayne E., and Campbell R. Harvey. 1999. Conditioning variables and the cross-section of stock returns. Journal of Finance 54:1325-60.
22. Gibbons, Michael R., Stephen A. Ross, and Jay Shanken. 1989. A test of the efficiency of a given portfolio. Econometrica 57, no. 5:1121-52.
23. Gomes, Joao F., Leonid Kogan, and Lu Zhang. 2003. Equilibrium cross section of returns. Journal of Political Economy 111:693-732.
24. Grundy, Bruce D., and J. Spencer Martin. 2001. Understanding the nature of risks and the sources of rewards to momentum investing. Review of Financial Studies 14:29-78.
25. Hansen, Lars, and Ravi Jagannathan. 1997. Assessing specification errors in stochastic discount factor models. Journal of Finance 52:557-90.
26. Hansen, Lars, and Scott F. Richard. 1987. The role of conditioning information in deducting testable restrictions implied by dynamic asset pricing models. Econometrica 55:587-614.
27. Harvey, Campbell R., and Guofu Zhou. 1990. Bayesian inference in asset pricing tests. Journal of Financial Economics 26:221-54.
28. Hollifield, Burton, Gary Koop, and Kai Li. 2003. A Bayesian analysis of a variance decomposition for stock returns. Journal of Empirical Finance 10:583-601.
29. Huberman, Gur, and Shmuel Kandel. 1987. Mean-variance spanning. Journal of Finance 42: 873-88.
30. Huberman, Gur, Shmuel Kandel, and Robert F. Stambaugh. 1987. Mimicking portfolios and exact arbitrage pricing. Journal of Finance 42, no. 6:1-9.
31. Jagannathan, Ravi, and Zhenyu Wang. 1996. The conditional CAPM and the cross-section of expected returns. Journal of Finance 56:3-53.
32. Jegadeesh, Narasimhan, and Sheridan Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48:65-91.
33. _. 2001. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56:699-720.
34. Jobson, John D., and Bob Korkie. 1985. Some tests of linear asset pricing with multivariate normality. Canadian Journal of Administrative Science 2:114-38.
35. Kandel, Shmuel, Robert McCulloch, and Robert F. Stambaugh. 1995. Bayesian inference and portfolio efficiency. Review of Financial Studies 8:1-53.
36. Kandel, Shmuel, and Robert F. Stambaugh, 1987. On correlations and inferences about mean variance efficiency. Journal of Financial Economics 18:61-90.
37. _. 1995. Portfolio inefficiency and the cross-section of mean returns. Journal of Finance 50:157-84.
38. Kothari, S. P., Jay Shanken, and Richard G. Sloan. 1995. Another look at the cross-section of expected returns. Journal of Finance 50:185-224.
39. Lettau, Martin, and Sidney Ludvigson. 2001. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. Journal of Political Economy 109, no. 6:1238-87.
40. Lintner, John. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47:13-27.
41. Long, John B. 1974. Stock prices, inflation, and the term structure of interest rates. Journal of Financial Economics 1:131-70.
42. MacKinlay, A. Craig. 1995. Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics 38:3-28.
43. Merton, Robert C. 1972. An analytical derivation of the efficient portfolio frontier. Journal of Financial and Quantitative Analysis 7:1151-72.
44. _. 1973. An intertemporal capital asset pricing model. Econometrica 41:867-87.
45. Pástor, Lubos. 2000. Portfolio selection and asset pricing models. Journal of Finance 55:179-224.
46. Pástor, Lubos, and Robert F. Stambaugh. 1999. Costs of equity capital and model mispricing. Journal of Finance 54:67-121.
47. _. 2000. Comparing asset pricing models: An investment perspective. Journal of Financial Economics 56:335-82.
48. _. 2002a. Investing in equity mutual funds. Journal of Financial Economics 63:351-80.
49. _. 2002b. Mutual fund performance and seemingly unrelated assets. Journal of Financial Economics 63:315-49.
50. Poirier, Dale J. 1995. Intermediate statistics and econometrics: A comparative approach. Cambridge, MA: MIT Press.
51. Roll, Richard. 1977. A critique of the asset pricing theory's tests: On past and potential testability of the theory. Journal of Financial Economics 4, pt. 1:129-76.
52. Roll, Richard, and Stephen A. Ross. 1994. On the cross-sectional relation between expected returns and betas. Journal of Finance 49:101-21.
53. Shanken, Jay. 1987a. A Bayesian approach to testing portfolio efficiency. Journal of Financial Economics 19:195-215.
54. _. 1987b. Multivariate proxies and asset pricing relations: Living with the Roll critique. Journal of Financial Economics 18:91-110.
55. Sharpe, William F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19:425-42.
56. _. 1992. Asset allocation: Management style and performance measurement. Journal of Portfolio Management, winter: 7-19.
57. Stambaugh, Robert F. 1982. On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis. Journal of Financial Economics 10:237-68.
58. Zellner, Arnold. 1986. On assessing prior distributions and Bayesian regression analysis with g-prior distributions. In Bayesian inference and decision techniques: Essays in honour of Bruno de Finetti, ed. P. K. Goel and A. Zellner, pp. 233-43. Amsterdam: North-Holland.