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Testing Portfolio Efficiency with Conditioning Information
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DOI：10.1093/rfs/hhn112.png)
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Abstract
En 中文
We develop asset pricing models' implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio efficiency by using the given conditioning information optimally. The optimal use of the lagged variables is economically important; by using the instruments optimally, we reject several efficiency hypotheses that are not otherwise rejected. The Sharpe ratios of a sample of hedge fund indexes appear consistent with the optimal use of conditioning information. (JEL G11, G12, G23)
Keywords:
ASSET PRICING-MODELS
MEAN-VARIANCE EFFICIENCY
DISCOUNT FACTOR BOUNDS
STOCK RETURNS
EXPECTED RETURNS
CROSS-SECTION
MIMICKING PORTFOLIOS
MULTIVARIATE TESTS
PERFORMANCE
EQUITY
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