| WORKING PAPERS: | |
| "Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2006, in review. [download pdf] | |
| "Measuring the Timing Ability of Fixed Income Funds," with Yong Chen and Helen Peters, October, 2006. [download pdf] | |
| JOURNAL ARTICLES: | |
| 2007 | "Asset Pricing Models with Conditional Alphas and Betas: The Effects of Data Snooping and Spurious Regression," with Timothy Simin and Sergei Sarkissian, 2006 Journal of Financial and Quantitative Analysis (forthcoming). [download pdf] |
| 2005a | "Evaluating Government Bond Fund Performance with Stochastic Discount
Factors," with Darren Kisgen and Tyler Henry, 2006, Review of Financial
Studies 19, 423-456. [download
pdf] |
2005b |
"Weak and Semi-strong form Stock Return Predictability Revisited," 2005, with Andrea Heuson and Tie Su, Management Science 51, 1582-1592. [download prepublication version] |
| 2005c | "Mimicking Portfolios with Conditioning Information" with Andrew Siegel
and Tracy Xu, 2006, Journal of Financial and Quantitative Analysis 41,
607-636. [download
pdf] |
|
"Is Stock Return Predictability Spurious?" with Sergei Sarkissian and Timothy Simin, 2003, Journal of Investment Management vol.1, no. 3, 10-19.[go to JOIM] |
|
"Spurious regressions in Financial Economics?" with Timothy Simin and Sergei Sarkissian, 2003, Journal of Finance 58, 1393-1414 (August). [prepublication version download pdf] |
|
"Stochastic Discount Factor Bounds with Conditioning Information," with Andrew F. Siegel, 2003 Review of Financial Studies 16, 567-595. [prepublication version download pdf] |
2002 |
"Performance Evaluation with Stochastic Discount Factors," with Heber Farnsworth, David Jackson, and Steven Todd, 2002, Journal of Business 75, 473-504 (July). [prepublication version download pdf] |
| 2001 | "The efficient use of Conditioning Information in Portfolios," with Andrew
F. Siegel, 2001, Journal of Finance 56, 967-982 (June). Smith
Breeden prize nominee for 2001. Summarized in "Fund
Manager Investor Relationships: Asset Allocation, Benchmark and Performance
Measurement," Institute for Quantitative Investment Research, 1997. [download
pdf] |
2001 |
"Using Time-varying Alphas and Betas in Performance Evaluation," with Jon A. Christopherson and Andrew Turner, 2001, Journal of Investment Consulting 2, 2-12. |
2001 |
"Performance Evaluation of Tactical Asset Allocation Managers," with Jon A. Christopherson, Tom Goodwin and Andrew Turner, 2001, Journal of Performance Measurement 4, no. 2. |
|
"Conditioning Variables and Cross-section of Stock Returns", 1999, with Campbell R. Harvey, Journal of Finance 54, 1325-1360. [prepublication version download pdf] Reprinted in: Asset Pricing Theory and Tests, Robert Grauer (ed.), Edward Elgar Publishing Ltd., Cheltenham UK (2002) |
1999 |
"Conditional Market Timing with Benchmark Investors," with Connie Becker, David Myers and Michael Schill, 1999, Journal of Financial Economics 52, 119-148. [download pdf] |
1999 |
"The Alpha Factor Asset Pricing Model: A Parable," with Sergei Sarkissian and Timothy Simin, 1999, Journal of Financial Markets 2, 49-68 (February). Summarized in the CFA Digest 30, no. 2, 17-18 (Spring 2000). [download pdf] |
|
"Performance Evaluation using Conditional Alphas and Betas," with Jon A. Christopherson and Andrew L. Turner, 1999, Journal of Portfolio Management 26, 59-72. Bernstein Fabozzi/Jacobs Levy Award, for 1999-2000. Summarized in the CFA Digest 30, no. 2, 29-30 (Spring 2000). [download pdf] |
1999 |
"Economic, Financial and Fundamental Global Risk In and Out of EMU," with Campbell R. Harvey, 1999, Swedish Economic Policy Review 6, 123-184. [download pdf] |
1998 |
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," with Jon A. Christopherson and Debra A. Glassman, 1998, Review of Financial Studies vol. 11, 111-142 (Spring). [download pdf] |
1998 |
"Cost of Capital Estimation without CAPM: Analysis of Sources of Error," with Dennis H. Locke, 1998, Management Science 44, 485-500, No. 4 (April). [download pdf] |
1998 |
"Fundamental Determinants of National Equity Market Returns: A perspective on Conditional asset pricing," with Campbell R. Harvey, 1998, Journal of Banking and Finance 21, 1625-1665. [prepublication version download pdf] |
1996 |
"Evaluating Fund Performance in a Dynamic Market," with Vincent A. Warther, 1996, Financial Analysts Journal 52, no. 6, pp.20-28. [download pdf] |
1996 |
"Measuring fund strategy and performance in changing economic conditions, with Rudi W. Schadt, 1996, Journal of Finance 51, 425-462 (June). Smith Breeden prize nominee for 1996. Reprinted in: Asset Pricing Models and Portfolio Performance: Models, Strategy and Performance Metrics, Robert A. Korajczyk, ed., Risk Books, London, June, 1999, pp.335-360, ISBN 1 899332 367. [download pdf] |
1995 |
"Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?" with Robert A. Korajczyk, 1995, Journal of Business 68, 309-349 (July). [download pdf] |
1994 |
"Finite Sample Properties of the Generalized Methods of Moments Tests of Conditional Asset Pricing Models," with Stephen R. Foerster, 1994, Journal of Financial Economics 36, 29-56 (August). Journal of Financial Economics "All star" paper for 1974-1995. [download pdf] |
1994 |
"Sources of Risk and Expected Returns in Global Equity Markets," with Campbell R. Harvey, 1994, Journal of Banking and Finance 18, 775-803. [prepublication version download pdf] |
1993 |
"The Risk and Predictability of International Equity Returns," with Campbell R. Harvey, 1993, Review of Financial Studies 6, 527-566. Summarized in International Society of Financial Analysts Digest 6, no. 1: 41-42. Reprinted in: International Capital Markets, Rene M. Stultz and G. Andrew Karolyi (eds.), Edward Elgar Publishing Ltd., Cheltenham, U.K. (forthcoming). [prepublication version download pdf] |
1993 |
"Time Nonseparability in Aggregate Consumption: International Evidence," with Philip Braun and George Constantinides, 1993, European Economic Review 37, 897-920 (June).[download pdf] |
1993 |
"Tests of General Latent Variable Models and Mean Variance Spanning," with Stephen R. Foerster and Donald B. Keim, 1993, Journal of Finance 48, 131-156 (March). Smith Breeden prize nominee for 1993. [download pdf] |
1992 |
"Seasonality and Consumption-Based Asset Pricing," with Campbell R. Harvey, 1992, Journal of Finance 47, 511-552 (June). Smith-Breeden prize nominee for 1992. [download pdf] [download not seasonally adjusted consumption data] |
1991 |
"Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," with George M. Constantinides, 1991, Journal of Financial Economics 29, 199-240 (October).Journal of Financial Economics "All Star" Paper for 1974-1995. [download pdf] |
1991 |
"The Variation of Economic Risk Premiums," with Campbell R. Harvey, 1991, Journal of Political Economy 99, 385-415 (April). Reprinted in: Asset Pricing Models and Portfolio Performance: Models, Strategy and Performance Metrics, Robert A. Korajczyk, ed., Risk Books, London, June, 1999, pp. 193-212. ISBN# 889332 367. [download pdf] |
| 1991 | "Sources of Predictability in Portfolio Returns," with Campbell R. Harvey,
1991, Financial Analysts Journal No.3, 49-56 (May/June). Graham
and Dodd Scroll Award for 1991. [download
pdf] |
1990 |
"Are the Latent Variables in Time-varying Expected Returns Compensation for Consumption Risk?" 1990 Journal of Finance 45, 397-430 (June). [download pdf] |
1989 |
"Changes in Expected Security Returns, Risk and the Level of Interest Rates," 1989, Journal of Finance 44, 1191-1217 (December). [download pdf] |
1987 |
"Non-Stationarity and Stage of the Business Cycle Effects in Consumption-based Asset Pricing Relations", with John J. Merrick, 1987, Journal of Financial Economics 18, 127-146 (March). [download pdf] |
1987 |
"Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," with Shmuel Kandel and Robert Stambaugh, 1987, Journal of Finance 42, 201-220 (June). Lead article. [download pdf] |
1985 |
"Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio," with Michael R. Gibbons, 1985, Journal of Financial Economics 14, 216-236 (June).[download pdf] |
1983 |
"Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests," 1983, Journal of Financial and Quantitative Analysis 18, 477-497 (December).[download pdf] |
| BOOK CHAPTERS AND MONOGRAPHS: | |
| 2006 | "Fixed Income Fund Performance Across Economic States," 2006, with Darren
Kisgen and Tyler Henry, Research In Finance 23, 1-62. JAI Press,
Oxford, UK. ISBN-13: 978-0-7623-1346-7. [download
pdf] |
| 2006 | "Asset Pricing Models," 2006, Chapter 8 in the Encyclopedia of Finance,
Cheng-few Lee, Ed., Springer Science and Business, New York, ISBN-10:0-387-26284-9,
pp 364-375. [download
pdf] |
| 2006 | "Conditional Asset Pricing," 2006, Chapter 9 in the Encyclopedia of Finance,
Cheng-few Lee, Ed., Springer Science and Business, New York, ISBN-10:0-387-26284-9,
pp 376-383. [download
pdf] |
| 2006 | "Conditional Performance Evaluation," 2006, Chapter 10 in the Encyclopedia
of Finance, Cheng-few Lee, Ed., Springer Science and Business, New York,
ISBN-10:0-387-26284-9, pp. 384-392. [download
pdf] |
| 2004 | "Conditional Performance Evaluation Revisited," with Meijun Qian, 2004,
in Research Foundation Monograph of the CFA Institue (formerly, AIMR),
ISBN 0-943205-69-7, 84 pages.[download
pdf] |
2003 |
"Tests of Mulitfactor Pricing Models, Volatility Bounds and Portfolio Performance," 2003. In George M. Constantinides, Milton Harris and Rene M. Stultz, Editors: Handbook of the Economics of Finance, Elsevier Science Publishers, North Holland, pp. 743-800 ISBN: 0-444-5136-9 .[download pdf] |
1998 |
"Conditional Measures of Performance and Persistence for Pension Funds", with with Jon A. Christopherson and Debra A. Glassman, 1998, in Research in Finance, vol. 16, JAI Press. Stamford, Ct. ISBN: 0-7623-0328-X; pp. 1-46. [download pdf] |
1996 |
"Econometric Evaluation of Asset Pricing Models," with Ravi Jagannathan, 1996, Chapter 1 (pp.1-30) in the Handbook of Statistics: vol. 14: Statistical Methods in Finance, G.S. Maddala and C.R. Rao (editors), North Holland ISBBN: 0-444-81964-9. [download pdf] |
1996 |
"Warning: Attribute-sorted Portfolios Can be Hazardous to Your Research," 1996, in Modern Portfolio Theory and its Applications, edited by Saitou, S., K. Sawaki and K. Kubota, Center for Academic Societies, Osaka Japan ISBN 4-906417-10-2 c3033 p6000E, pp. 21-32. [download pdf] |
1995 |
"Predictability and Time-varying Risk in World Equity Markets," with Campbell R. Harvey, 1995, in Research in Finance, volume 13, 25-85, JAI Press. [download pdf] |
1995 |
"Further Results on the Small-sample Properties of the Generalized Method of Moments: Tests of Latent Variable Models," with Stephen R. Foerster, 1995, in Research in Finance, volume 13, 91-144, JAI Press. [download pdf] |
1995 |
"Theory and Empirical Testing of Asset Pricing Models," 1995, Chapter 5 in Finance, Handbooks in Operations Research and Management Science, by Jarrow, Maksimovic and Ziemba (editors), Elsevier, 145-200. [download pdf] |
1994 |
"An Exploratory Investigation of the Fundamental Determinants of International Equity Market Returns," with Campbell R. Harvey, 1994, in Internationalization of Equity Markets, edited by Jeffrey A. Frankel, University of Chicago Press, pp.59-148, (ISBN 0-226-26001-1). |
1994 |
"Asset Pricing Models," 1994, in the McGraw-Hill Encyclopedia of Economics, by Douglas Greenwald (editor), second edition, 47-52. |
1993 |
"Explaining the Predictability of Asset Returns," with Campbell R. Harvey, 1993, in Research in Finance, volume 11, 65-106, JAI Press (ISBN: 1-55938-651-7). [download pdf] |
1993 |
"Seasonality and Heteroskedasticity in Consumption-based Asset Pricing: An Analysis of Linear Models," with Campbell R. Harvey, 1993, in Research in Finance, volume 11, 1-35, JAI Press (ISBN: 1-55938-651-7). [download pdf] |
| OTHER PUBLICATIONS: | |
| Book review of "A Nonrandom Walk Down Wall Street," by Lo and MacKinlay, 1999, Journal of Economics/ Zeitschrift fur Nationalokonomie (forthcoming) | |
| Book review of "Asset Pricing," by John H. Cochrane, Review of Financial Studies 2002, Vol. 15, no. 1, pp. 349-351. | |
| Book review of "Institutional Investors," by Davis and Steil, 2002 Journal of Economics/ Zeitschrift fur Nationalokonomie 76, 196-198. | |
| "Evaluating Mutual Funds in a Changing Economy," in Joe Faltermeier's Investors' Outlook, Fall 1996. | |
| Book Review of Business Cycles in a Debt and Equity Economy,
By Robert E. Krainer, Cambridge: Blackwell publishers, 1992. Pp. xx + 245,
Journal of Finance 48, 2034-2037 (December 1993). |
|
| "Treasury Bill Futures as Unbiased Predictors: New Evidence and Relation to Unexpected Inflation: a Discussion," 1990, The Review of Futures Markets 9, 489-503. | |
| "The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates: Discussion," 1986, Journal of Finance, 41, 629-632 (July). | |
| "Changes in Expected Risk Premiums and Security Risk Measures," Proceedings of the European Finance Association, (August, 1985). | |
| "Empirical Regularities in Stock Returns Involving Day, Size and Season," with Donald B. Keim, The Proceedings of the Seminar on the Analysis of Security Prices, University of Chicago, (May, 1984). | |