Purpose – Glode provides theoretical and empirical evidence that, in aggregate, funds underperform during economic expansions and outperform during contractions. The authors find that this result is not robust to the more appropriate conditional CAPM and to alternative methods for estimating...

This thesis includes two essays. Essay 1 concentrates on the use of conditional asset pricing models to speculate on the nature of the value premium. Previous findings seem to be strictly dependent upon the state variables used to define the "good" and "bad" states of the world. I investigate...

Recent empirical work suggests that predictability of future returns is related to a time-varying component that expected returns exhibit. In this paper, I use conditional asset pricing models to investigate whether return anomalies exhibit common dynamic patterns in returns. The prediction of a...

Conditional asset pricing models have been used to determine whether the value premium and other CAPM anomalies are due to risk. We show that the conclusions on whether these anomalies are due to risk are very sensitive to the choice of the information variables used to define good and bad...

The paper examines the relative importance of ten anomaly-based trading strategies. We employ Mean Variance spanning methodologies in a classical unconditional setting and a novel conditional setting. Fixed-weight optimal portfolios stemming from the unconditional methodology indicate that all...