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- Title
Stock-Market Risk Factors and Manager Performance.
- Authors
Mladina, Peter; Germani, Steven
- Abstract
There has been a proliferation of stock-market factors that have been mined from historical data, and researchers are now using different methods to address this factor zoo. The authors employ a new method of jointly testing stock-market factor models and manager performance using the attributes of market efficiency as an ideal, or benchmark. They find that a modified three-factor model with an intertemporal risk-free asset is the best factor model overall for traded stock portfolios. Evidence for a simple intertemporal CAPM is also encouraging. Consistent with prior research, they find little evidence of manager skill net of expenses.
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 5, p40
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2022.1.348