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TESTS OF MUTLIFACTOR PRICING MODELS,VOLATILITY BOUNDS AND PORTFOLIO PERFORMANCE
Wayne E. Ferson
CONTENTS
I. Introduction
2. Multi-factor Asset Pricing Models: Review and Integration
2.1 The Stochastic Discount Factor Representation
Expected Risk Premiums
Return Predictability
2.2 Consumption-based Asset Pricing Models
2.3 Multi-beta pricing Models
Relation to the Stochastic Discount Factor
Relation to Mean variance efficiency
A "Large Markets" Interpretation
2.4 Mean variance efficiency with conditioning information
Conditional versus Unconditional Efficiency
Implications for Tests
2.5 Choosing the factors
3. Modern Variance Bounds
3.1 The Hansen Jagannathan Bounds
3.2 Variance bounds with conditioning information
Efficient-portfolio bounds
Optimal bounds
Discussion
3.3 The Hansen Jagannathan Distance
4. Methodology and Tests of Multifactor Asset Pricing Models
4.1 The Generalized Method of Moments Approach
4.2 Cross-sectional Regression Methods
The Fama-MacBeth approach
Interpreting the estimates
A Caveat
Errors in Betas
4.3 Multivariate Regression and beta pricing models
Comparing the Beta Pricing and stochastic discount factor approaches
3
5. Conditional Performance Evaluation
5.1 Stochastic Discount Factor formulation
Invariance to the number of funds
5.2 Beta pricing formulation
5.3 Using portfolio weights
Conditional Performance Attribution
Interim Trading Bias
5.4 Conditional market timing models
5.5 Empirical Evidence on Conditional Performance
6. Conclusions
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