Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Conditional factor models allow both risk loadings and performance over a period to be a function of information available at the start of the period. Much of the literature to date has allowed risk loadings to be time-varying while imposing the assumption that conditional performance is...

Conditional factor models allow both risk loadings and performance over a period to be a function of information available at the start of the period. Much of the literature to date has allowed risk loadings to be time-varying while imposing the assumption that conditional performance is...

Conditional factor models allow both risk loadings and performance over a period to be a function of information available at the start of the period. Much of the literature to date has allowed risk loadings to be time-varying while imposing the assumption that conditional performance is...

Conditional factor models allow both risk loadings and performance over a period to be a func- tion of information available at the start of the period. Much of the literature to date has allowed risk loadings to be time-varying while imposing the assumption that conditional performance is...

Many applications in financial economics use data series with different starting or ending dates. This paper describes an estimation method, based on the generalized method of moments (GMM), which makes use of all available data for each moment condition. We introduce two asymptotically...

Recent evidence has documented a predictable component in stock returns which is particularly large at low frequencies (see for example Fama and French [1099] and [1989]). Most previous studies have examined the predictability of bond portfolios, stock indices, size deciles and industry...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-tomarketand portfolio cash flows are predictable. The state space is discrete and...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable. The state space is discrete and...

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable. The state space is discrete and...