We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how...

Despite pension fund managers being largely unconstrained in their investment decisions, this paper reports evidence of clustering in the performance of a large cross-section of UK pension fund managers around the median fund manager. This finding is explained in terms of the predominance of a...

We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how...

Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination...

A new methodology is adopted for testing semistrong efficiency in financial markets where investors do not know the underlying data-generating model. Based on ideas from the literature on learning, it is shown that investors can use a dynamic significance criterion to conduct a specification...

This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental...