benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non …

Cremers, Petajisto, and Zitzewitz (forthcoming) are more reliable benchmark models of expected returns than the Fama and … pricing errors over possible contingent claims when considering benchmark models that are used in fund performance … applications (Wang & Zhang, 2012). I find that all of the candidate benchmark models are misspecified. I find that conditional …

. The latter provides a measure of the best accuracy that can be achieved using the benchmark models adopted. Among other … simple benchmark model used here. The benchmark models have merit as competing models that could be investigated further …

. The latter provides a measure of the best accuracy that can be achieved using the benchmark models adopted. Among other … simple benchmark model used here. The benchmark models have merit as competing models that could be investigated further …