Efficient Use Of Conditioning Information PDF Download
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Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 54 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Testing Portfolio Efficiency with Conditioning Information Book in PDF, ePub and Kindle
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.
Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 52 |
Release | : 2006 |
Genre | : Assets (Accounting) |
ISBN | : |
Download Testing Portfolio Efficiency with Conditioning Information Book in PDF, ePub and Kindle
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.
Author | : Abhay Abhyankar |
Publisher | : |
Total Pages | : 44 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Efficient Use of Conditioning Information Book in PDF, ePub and Kindle
In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the investor's opportunity set. The maximum Sharpe ratio achievable using the predictive information efficiently therefore provides a convenient measure of the extent to which predictability matters. We build on the conditional asset pricing theory of Hansen and Richard (1987) to explicitly characterize the difference in maximum squared Sharpe ratios with and without conditioning information. We show that this difference is directly related to the R^2 of a predictive regression. Our test statistic is closely related to the Wald test for the regression coefficient. Under the null hypothesis of no predictability, the difference in squared Sharpe ratios is zero. Rejection of the null hypothesis thus implies that the presence of return predictability significantly expands the mean-variance frontier.Using our test, we find that at short (monthly) horizon, using the consumption-wealth ratio as predictor variable, (Lettau and Ludvigson, 2001), we clearly reject the null hypothesis of no predictability. In contrast, dividend yield has at most marginal effect. However, at longer horizons the effect of dividend yield becomes more pronounced. An important implication of our results is that neither the fixed-weight three-factor Fama-French (1988) model, nor the Carhart (1996) model, can be viable conditional asset pricing models when consumption-wealth ratio is chosen as the conditioning variable. Our analysis is closely related to, and extends the work of Ferson and Siegel (2001), Bekaert and Liu (2001), and Kirby (1998).
Author | : United States. Congress. House. Committee on Government Operations. Conservation and Natural Resources Subcommittee |
Publisher | : |
Total Pages | : 460 |
Release | : 1973 |
Genre | : Power resources |
ISBN | : |
Download Conservation and Efficient Use of Energy Book in PDF, ePub and Kindle
Author | : Abhay Abhyankar |
Publisher | : |
Total Pages | : 41 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Portfolio Efficiency and Discount Factor Bounds with Conditioning Information Book in PDF, ePub and Kindle
In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the Hilbert space framework of Hansen and Richard (1987) to obtain new characterizations of the efficient portfolio frontier and variance bounds on discount factors, as functions of the conditioning information. We introduce a covariance-orthogonal representation of the asset return space, which allows us to derive several new results, and provide a portfolio-based interpretation of existing results. Our analysis is inspired by, and extends the recent work of Ferson and Siegel (2001,2002), and Bekaert and Liu (2001). Our results have several important applications in empirical asset pricing, such as the construction of portfolio-based tests of asset pricing models, conditional measures of portfolio performance, and tests of return predictability.
Author | : Lola Morales |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Mean-variance Efficiency Tests with Conditioning Information Book in PDF, ePub and Kindle
Author | : Walter G Berl |
Publisher | : Routledge |
Total Pages | : 278 |
Release | : 2019-04-23 |
Genre | : Architecture |
ISBN | : 0429706790 |
Download Efficient Comfort Conditioning Book in PDF, ePub and Kindle
This timely study deals with the heating and cooling ofbuildings using innovative systems that can reduce fossilfuel and electric energy requirements by as much as 80 percent.Emphasis is placed on thermal storage, utility rate structures,peak load problems, and cogeneration of heat and powerin small-scale applications. The first several chapterstreat promises and problems of solar energy use for efficientcomfort conditioning. Other contributions deal with thesocial implications of future energy efficiency requirementswith a focus on the community.
Author | : Cheng-Few Lee |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2014-09-28 |
Genre | : Business & Economics |
ISBN | : 9781461477495 |
Download Handbook of Financial Econometrics and Statistics Book in PDF, ePub and Kindle
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Author | : Devraj Basu |
Publisher | : |
Total Pages | : 37 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Portfolio Efficiency and Discount Factor Bounds with Conditioning Information Book in PDF, ePub and Kindle
In this paper, we study the properties of unconditionally efficient portfolios and discount factor bounds in the presence of conditioning information. The main contribution of this paper is to provide a detailed comparison between various stochastic discount factor bounds with conditioning information. We do this by exploiting the explicit link between the stochastic discount factor approach and portfolio efficiency in the presence of conditioning information. For common choices of base assets and conditioning instruments, we find that the quot;unconditionally efficientquot; bounds of Ferson and Siegel (2002) are statistically indistinguishable from the (theoretically) optimal bounds of Gallant, Hansen, and Tauchen (1990), while having smaller sampling variability. We demonstrate that the difference in sampling variability of the UE and GHT bounds is due to the different behavior of the portfolio weights underlying their construction. Our work is closely related to and extends Ferson and Siegel (2001), Ferson and Siegel (2002) and Bekaert and Liu (2001).
Author | : |
Publisher | : |
Total Pages | : 874 |
Release | : 1990 |
Genre | : Econometrics |
ISBN | : |
Download Journal of Econometrics Book in PDF, ePub and Kindle