Asset Pricing and Portfolio Performance

Content

• Introduction and Overview:
• Original section introductions by Robert Korajczyk
• Asset Pricing Theory:
  • Capital Asset Prices a Theory of Market Equilibrium under Conditions of Risk
  • William F Sharpe
• toward a Theory of Market Value of Risky Assets
  • Jack Treynor
• An Intertemporal Capital Asset Pricing Model
  • Robert C. Merton
• The Arbitrage Theory of Capital Asset Pricing
  • Stephen A. Ross
• A Simple Model of Capital Market Equilibrium with Incomplete Information
  • Robert C.Merton
• Testing Asset Pricing Models, Anomalies, and Portfolio Strategies:
• The Cross-Section of Expected Stock Returns
  • Eugene F. Fama and Kenneth R. French
• Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
  • Narasimhan Jegadeesh and Sheridan Titman
• Multi-Factor Explanations of Asset Pricing Anomalies
  • Eugene F. Fama and Kenneth R. French
• Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns
  • Michael J. Brennan, Tarun Chordia, and Avanidhar Subrahmanyam
• Evidence on the Characteristics of the Cross Sectional Variation in Stock Returns
  • Kent Daniel and Sheridan Titman
• The Variation of Economic Risk Premiums
  • Ferson, Wayne E. and Campbell R. Harvey
• Market Imperfections and Asset Pricing:
• Asset Pricing and the Bid-Ask Spread
  • Yakov Amihud and Haim Mendelson
• Market Microstructure and Asset Pricing: on the Compensation for Illiquidity in Stock Returns
  • Brennan, Michael J., and Avanidhar Subrahmanyam
• The Conditional CAPM and the Cross-Section of Expected Returns
  • Ravi Jagannathan and Zhenyu Wang
• Portfolio Performance Evaluation:
• Portfolio Performance Evaluation: Old Issues and New Insights
  • Mark Grinblatt and Sheridan Titman
• Assessing the Market Timing Performance of Managed Portfolios
  • Ravi Jagannathan and Robert A. Korajczyk
• beyond Mean-Variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions
  • Hayne E Leland
• Measuring Fund Strategy and Performance in Changing Economic Conditions
  • Wayne E. Ferson and Rudi W. Schadt
• Survivorship Bias in Performance Studies
  • Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross