Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely...

Stocks experiencing sharp changes in their style characteristics present unique opportunities to examine how investors view style information in making their portfolio allocation decisions. We examine the average returns of such stocks - which we call “style migrants” - and the covariation...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...