Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying...

This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the context of an equilibrium model where dividend news evolve on a binomial lattice with unknown but recursively updated probabilities we derive...

This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...

This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...

This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly. Learning causes the discount...

This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...

This study examines evidence of structural breaks in models of predictable components in stock returns related to state variables such as the lagged dividend yield, Treasury bill rate, term spread and default premium. We examine a large set of size-and-industry-sorted portfolios of US stocks as...

We apply a new bootstrap statistical technique to examine the performance of the U.S. open-end, domestic-equity mutual fund industry over the 1975 to 2002 period. This bootstrap approach is necessary because the cross-section of mutual fund alphas has a complex, non-normal distribution ndash;...