| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12098 |
| 来源ID | Working Paper 12098 |
| Testing Portfolio Efficiency with Conditioning Information | |
| Wayne E. Ferson; Andrew F. Siegel | |
| 发表日期 | 2006-03-20 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12098 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569752 |
| 推荐引用方式 GB/T 7714 | Wayne E. Ferson,Andrew F. Siegel. Testing Portfolio Efficiency with Conditioning Information. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12098.pdf（633KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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