Intuition derived from the static capital asset pricing theory(CAPM) suggests that the market risk premium should be positively related to the market systematic risk as measured by the market volatility (variance). However, the empirical evidence is conflicting. While some studies find...

This paper considers the team management of mutual funds, fund manager ability, performance, and holdings. We find evidence suggesting there is a positive relation between performance and team management concurrent with a negative relation between managerial ability and the use of team...

This paper considers the team management of mutual funds, fund manager ability, fund performance, and holdings. We find evidence suggesting a positive relation between fund performance and team management concurrent with a negative relation between managerial ability and the use of team...

Recent studies provide strong statistical evidence challenging the existence of out-of-sample return predictability. The economic significance of return predictability is also controversial. In this paper, we find significant economic gains for dynamic trading strategies based on return...

We investigate the implications of time-varying expected return and volatility on asset allocation in a high dimensional setting. We propose a dynamic factor multivariate stochastic volatility (DFMSV) model that allows the first two moments of returns to vary over time for a large number of...

The Capital Asset Pricing Model (CAPM) suggests that the market risk premium should be positively related to the market systematic risk as measured by the market variance. However, the empirical evidence is conflicting. While some studies find a significantly positive relation, others find an...

We model a microstructure effect on daily security returns, embodied by zero returns and the bid-ask spread, and derive a closed-form solution for the resulting bias in the estimated idiosyncratic volatility. Our empirical tests show that controlling for the bias eliminates the ability of...