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Testing Portfolio Efficiency with Conditioning Information / Wayne E. Ferson, Andrew F. Siegel.
- Format:
- Book
- Author/Creator:
- Ferson, Wayne E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12098.
- NBER working paper series no. w12098
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our tests refine previous tests of portfolio efficiency, using the conditioning information optimally. We reject the efficiency of all static or time-varying combinations of the three Fama-French (1996) factors with respect to the conditioning information and also the conditional efficiency of time-varying combinations of the factors, given standard lagged instruments.
- Notes:
- Print version record
- March 2006.
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