This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...