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On correlations and inferences about mean-variance efficiency

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Cited by:

  1. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  2. Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June.
  3. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
  4. Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
  5. Lubos Pastor & Robert F. Stambaugh, "undated". "Evaluating and Investing in Equity Mutual Funds," Rodney L. White Center for Financial Research Working Papers 10-00, Wharton School Rodney L. White Center for Financial Research.
  6. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  7. Prono, Todd, 2015. "Market proxies as factors in linear asset pricing models: Still living with the roll critique," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 36-53.
  8. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
  9. Piao, Xiaorui & Mei, Bin & Zhang, Weiyi, 2017. "Long-term event study of timber real estate investment trust conversions," Forest Policy and Economics, Elsevier, vol. 78(C), pages 1-9.
  10. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  11. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
  12. Todd Prono, 2009. "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Supervisory Research and Analysis Working Papers QAU09-3, Federal Reserve Bank of Boston.
  13. Madiha Kazmi & Umara Noreen & Imran Abbas Jadoon & Attayah Shafique, 2021. "Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model," Risks, MDPI, vol. 9(12), pages 1-14, December.
  14. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  15. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
  16. Choi, Yoon K., 1995. "The sensitivity in tests of the efficiency of a portfolio and portfolio performance measurement," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 187-206.
  17. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," The Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
  18. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
  19. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
  20. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  21. Kandel, Shmuel & Stambaugh, Robert F, 1995. "Portfolio Inefficiency and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 157-184, March.
  22. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
  23. Pastor, Lubos & Stambaugh, Robert F., 2002. "Investing in equity mutual funds," Journal of Financial Economics, Elsevier, vol. 63(3), pages 351-380, March.
  24. Levy, Moshe & Levy, Haim, 2015. "Keeping up with the Joneses and optimal diversification," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 29-38.
  25. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).
  26. Patrick Roger & Maxime Merli, 2001. "Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz," Working Papers of LaRGE Research Center 2001-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  27. Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.
  28. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
  29. Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
  30. Guedhami, Omrane & Sy, Oumar, 2005. "Does conditional market skewness resolve the puzzling market risk-return relationship?," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 582-598, September.
  31. Simmet Anastasia & Pohlmeier Winfried, 2020. "The CAPM with Measurement Error: ‘There’s life in the old dog yet!’," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 417-453, August.
  32. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
  33. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
  34. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
  35. Post, G.T., 2002. "Testing for Third-Order Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2002-02-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  36. Kai Li & Asani Sarkar & Zhenyu Wang, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
  37. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  38. Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86.
  39. Avraham Kamara & Lance Young, 2018. "Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity," Financial Management, Financial Management Association International, vol. 47(4), pages 911-929, December.
  40. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
  41. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
  42. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 225-235.
  43. Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
  44. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc.
  45. Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.
  46. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  47. Faruque, Muhammad U, 2011. "An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh," MPRA Paper 38675, University Library of Munich, Germany.
  48. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
  49. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  50. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
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